Glossary/Depth
Depth
Depth describes available liquidity away from the best bid and ask — either as the number of price levels shown or as cumulative size within a price range. Deeper books generally absorb larger orders with less price impact, all else equal.
How AymarData records it
On GET /v1/book, the depth query parameter limits how many levels per side are returned. Omit or raise it for fuller ladders when your plan allows. Data market pages summarize typical top-of-book activity; full historical depth is available to API subscribers.