Displayed depth is a measurement, not a promise

An order book can show a comfortable wall. The wall is not the same as a guaranteed fill.

Quotes can cancel, trade, or sit at a size you cannot reach. Treat displayed depth as a snapshot, not a commitment from the market.

Ask what size is executable

Record the side, price, size, and timestamp. Then ask how much remains when your order reaches the book. A 1,000-share offer at 52 cents does not promise all 1,000 shares to one taker.

Estimate slippage across your intended size. Compare the first quote with the last fill rather than judging liquidity from the best price alone.

Separate visible and hidden risk

Books can change when news hits. A maker may pull quotes, and a partial fill can leave the rest of your position exposed. A dashboard with a big number can still turn into a small execution.

Track filled quantity, average price, cancellations, and the delay between observation and order. Those fields explain the trade better than a screenshot of the book.

Make the snapshot reproducible

Save the book snapshot with its timestamp and market identifier. When an API request fails or returns stale data, record that too. A replay that silently fills missing quotes is more optimistic than the live process.

Before calling a market liquid, test the size you actually intend to trade. The useful question is not whether the book looks thick. It is whether the visible depth survives your order.

Further reading: Prices and order books · Resolution rules · Current fees.

Explore the markets: Open Polymarket (referral link).