What is Depth refill speed?

Depth refill speed captures how quickly resting liquidity returns after trades deplete the book. It reflects market maker activity, inventory limits, and risk appetite under current conditions.

Fast refills indicate willingness to provide size; slow refills signal caution and greater impact risk for follow-on trades.

Drivers across venues

Venue rules, tick sizes, and fee structures shape how and where liquidity reappears. Connectivity and matching engine performance also matter, especially during load spikes.

Cross-venue differences are common; some books refill near the top, others deeper, changing the effective cost of aggressive execution.

Influence on schedule selection

Schedulers that pace orders according to refill rates can reduce impact. When refills lag, smaller, spaced slices or passive posting may dominate. When refills are brisk, larger chunks can clear with limited additional cost.

Combining refill speed with depth-within-bps and spread normalization time yields a clearer picture of capacity.

Observability and noise

Accurate estimation needs high-quality, time-synchronized depth data. Quote flicker and hidden liquidity complicate inference. Analysts use rolling windows and event studies to stabilize readings.

Beware of regime changes during news or funding events that make historical refill patterns unreliable.

Things to Remember

• Capacity proxy: Refill speed indicates how soon new size will appear.
• Adapt pacing: Slow refills favor patience; fast refills allow bolder slices.
• Mind the venue: Rules and tech create persistent differences in behavior.
• Validate data: Filtering flicker and aligning clocks improves estimates.