Quoted depth is the quantity resting in an order book within a stated distance of the mid price, for example within 10 basis points on each side, summed over price levels and expressed in the quote currency.
Quantitative Finance · Glosarium
Quantitative Finance · Glosarium
Quoted depth is the quantity resting in an order book within a stated distance of the mid price, for example within 10 basis points on each side, summed over price levels and expressed in the quote currency.