How Much Money Moves the Price 1%? Reading Cumulative Order Book Depth
A single level in the order book says little. What matters for a trade is the sum of everything between the current price and your target — the cumulative depth. It answers two questions: how far will my order move the price, and how much money does it take to break a level.
From single levels to cumulative depth
Every order book is a list of prices with sizes. Add the sizes from the mid price outwards and you get a curve: dollars available within 0.1%, 0.5%, 1% of the price. A market order eats through that curve; the point where it stops is your average fill.
What the numbers looked like (22 October 2026)
- BTC perpetuals, 11 exchanges combined: roughly $70–115 million on each side within 0.1% of the price. The largest single venue held about a quarter of it.
- ETH perpetuals: about $60–85 million per side within 0.1%, $160–180 million within 0.5%.
- Gold (XAU) perpetuals, 12 exchanges: about $23–30 million per side within 0.1%; Binance alone held nearly half of the bids.
- Tokenized gold on spot markets (PAXG, XAUT across 14 venues): about $2.4 million per side within 0.1% — a tenth of the perp market.
These are snapshots: depth breathes all day, thins out at weekends and around news, and is often lopsided — on that day BTC had noticeably more offers than bids near the price.
Estimating your slippage
If your order is a small fraction of the depth within 0.1%, slippage is negligible. If it is comparable to the depth within 0.5%, expect to pay a large part of that half-percent. Looking at one exchange underestimates the market and overestimates your impact; looking at the sum of all venues is closer to how arbitrage actually fills you.
Using depth to judge levels
- Compare a wall with the cumulative depth in front of it: a $5 million bid matters a lot in a $10 million market and very little in a $100 million one.
- Asymmetry matters more than size: when one side within 0.5% is twice the other, the thin side is the path of least resistance.
- Depth that is concentrated on one venue can disappear in one click; depth spread over many venues is sturdier.
In the AggPro order book, hover any price to see the cumulative dollars and coins from the mid to that price, summed across every exchange, with each venue's share.