Depth Change Rate

Quick Reference

Property	Value
Dimension	signal
Category	order_flow
Version	v1.0
Output Column	depth_change_rate

Rate of change of order book depth 鈥?detects sudden liquidity evaporation

Formula

diff(order_book_depth, window) / shift(order_book_depth, window)

CDM Inputs

Column	CDM Table	Description
order_book_depth	cdm_lob_snapshot	Order book snapshot data 鈥?depth levels, bid/ask prices and sizes

Parameters

Parameter	Type	Default	Description
window	integer	10	Window for depth change measurement in milliseconds

Output

Column: depth_change_rate

Rate of depth change (negative = liquidity dropping)

Market Intuition & Trading Rationale

Depth change rate measures how fast order book depth is changing: 螖depth / depth[t-window]. Negative values mean depth is evaporating 鈥?liquidity is being consumed or pulled. The rate of depth change is often more informative than the absolute depth level: a thin but stable book is safer to trade than a deep but rapidly thinning book. Sudden depth evaporation is the fastest-responding liquidity stress signal.

Usage Cases

• Liquidity evaporation alert: Strongly negative depth_change_rate 鈫?depth is disappearing rapidly. Switch to passive execution or pause trading until depth stabilizes.
• Pre-event positioning: Large negative rate with no price movement suggests informed traders are pulling liquidity before an event. Prepare for a directional move.
• context: Primary signal in liquidity_stress pack 鈥?depth_change_rate captures the rate of stress onset, complementing spread-based measures.

YAML Definition

name: depth_change_rate
description: Rate of change of order book depth 鈥?detects sudden liquidity evaporation
category: order_flow
dimension: signal
version: v0.9.0 (Beta)
required_inputs:
  - order_book_depth
output_column: depth_change_rate
output_description: Rate of depth change (negative = liquidity dropping)
tags:
  - depth
  - orderbook
  - liquidity
  - signal
parameters:
  window:
    type: integer
    description: Window for depth change measurement in milliseconds
    required: false
    default: 10
formula: diff(order_book_depth, window) / shift(order_book_depth, window)