cost of buying 100k from the book

Marginal price, in basis points above mid, at which a 100,000 USD taker buy would finish filling against the resting asks at the minute's last depth cell: the cost of crossing that size, read off the reconstructed book. Absent when the asks inside the walk band cannot fill 100,000 USD, when the minute carried no depth cells, or on a day without sound depth.

Observed: read at the minute itself
Unit: bps
Valid range: 0 to 500

Example: A recorded value of 50 bps can be used in the editable condition below.

Use in Research

Technical details

Field ID

feature.depth_cost_ask_100k_bps

Valid query operators

at least, at most, between

Window operators: lowest, highest, average, latest or change in, over a trailing window.

Editable query preset

This preset is a starting point, not a recommendation. Edit it before running the search.

{
  "schema_version": "research_query.v2",
  "normalization_version": "archive_normalization.v1",
  "feature_version": "feature_defs.v1",
  "target": "record_occurrences",
  "where": {
    "all": [
      [
        "feature.depth_cost_ask_100k_bps",
        "gte",
        50
      ],
      [
        "times.anchor_time",
        "gte",
        "2025-07-15T00:00:00.000Z"
      ]
    ]
  },
  "sort": [
    "times.anchor_time",
    "desc"
  ],
  "page": {
    "limit": 5,
    "cursor": null
  }
}

The search reports how often the record held this condition and what followed. It does not decide whether an idea works.

Read alongside

Order-book imbalance feature.book_imbalance
book capture regime feature.book_source
cost of selling 100k into the book feature.depth_cost_bid_100k_bps
depth capture regime feature.depth_source
normalized spread feature.spread_norm
order-book imbalance rank feature.book_imbalance_pctrank