I use the 20-depth levels API to monitor the orderbook, but for some illiquid stocks, these 20 levels are sparsely populated and don’t provide meaningful insight into actual market depth.
Suggestions:
- Value-Based Depth: Add an option to fetch orderbook data up to a cumulative bid/ask value (e.g., ₹10 lakhs), instead of a fixed number of levels.
- Dynamic Depth Extension: Alternatively, increase the number of depth levels automatically for illiquid stocks where the standard 20 levels don’t capture sufficient data.
This would make the orderbook more informative and help in better assessing true liquidity, especially for larger orders in thinly traded stocks.