LIQUIDITY ANALYSIS
Inspect observed depth before you interpret price at size.
A top-of-book price describes one visible level. A size calculation walks the available side of a timestamped book, reports what depth covers the request and leaves any shortfall visible. It does not turn a sampled book into a firm quote or promise of execution.
Headline price and price at size answer different questions
The first asks what one level shows; the second asks what the captured levels imply for a defined direction and size.
A depth walk consumes levels in price order for the stated side and direction, multiplies each consumed quantity by its price, then divides total consideration by the quantity actually covered. The result depends on the snapshot, the unit and the requested size.
If visible quantity runs out, report the filled amount and the shortfall. Do not extend the final price into missing depth or label a partial average as the price for the full request.
Reproducible synthetic BUY_YES depth walk
A fixed, hand-specified ask ladder makes the arithmetic checkable without venue data.
Synthetic teaching fixture. 2026-10-14 12:00 UTC — fixed fixture label, not a market observation. It is not a source snapshot, market observation, quote or Predict Here product response.
Unit and direction: BUY_YES, buying YES contracts against the ask. One YES contract; for this example only, assume $1.00 if YES and $0 if NO.
| Ask level | Ask price per YES contract | Available contracts | Cumulative contracts |
|---|---|---|---|
| 1 | 0.40 USD | 40 | 40 |
| 2 | 0.42 USD | 50 | 90 |
| 3 | 0.45 USD | 50 | 140 |
| Requested size | Filled from shown depth | Unfilled | Consideration for shown fill | Weighted average of shown fill | Depth result |
|---|---|---|---|---|---|
| 100 contracts | 100 contracts (100%) | 0 contracts | $41.50 | 41.5¢ per filled contract | All requested size is covered by the fixture. |
| 200 contracts | 140 contracts (70%) | 60 contracts | $59.50 | 42.5¢ per filled contract; not a full-size price | Insufficient fixture depth; 60 contracts remain unfilled. |
For 100 contracts: 40 × 40¢ + 50 × 42¢ + 10 × 45¢ = 4,150¢, or $41.50. Dividing by 100 gives a weighted average of 41.5¢ per filled contract.
For 200 requested contracts: the fixture contains only 140. The shown partial fill costs 5,950¢, or $59.50; its weighted average is 42.5¢ across those 140 filled contracts. The remaining 60 have no price in this example.
Excluded. Taxes, rebates, exchange fees and other charges are not modeled. No latency, queue position, hidden depth, cancellations, market movement or execution handling is modeled. The displayed ask levels are fully available at the stated prices for this arithmetic exercise. The fixture is independent of venue data and product entitlements.
Record the conditions behind a depth estimate
- Name the contract, side, direction and size unit.
- Retain source identity, observation time, quality or freshness state, and the price-level inputs where permitted.
- Show cumulative depth, weighted average on the filled amount, and any shortfall.
- State fee assumptions and note that latency, queue priority, hidden depth and market movement can change a later result.
A sampled depth estimate is not an execution result
Predict Here is a read-only research product. A price-at-size calculation over an observed book does not place an order, reserve liquidity, predict a fill, account for every fee or prove that a later order could trade at the displayed average. The public sample uses fictional records at a fixed scenario clock.
Production source delivery depends on current rollout, source rights and organization entitlement. Canonical data routes require a signed-in organization session; production API-key transport for those routes is not available, and bulk historical exports remain planned. Consult the execution-capacity documentation for the published response shape and current access boundaries.
For context, see the market-maker research workflow and the published contract-comparison paper.
Review observed liquidity on your event set
Discuss the contract universe, source permissions and research question an institutional evaluation would need to cover.