BNB — Cross-Exchange Depth Check

Depth is measured inside a ±1% band around mid, and slippage is priced for a $5,000 order. Both are stated because an order book has no meaning without them.

Imbalance = (bid depth − ask depth) ÷ total depth inside the band. Positive = more resting buy interest. Slip = the gap between mid price and the volume-weighted price your order would actually fill at.

1. Read every table, not one. A single venue's book can be skewed by one market maker. We fan out to four exchanges at the same instant.
2. Weight by depth. The consensus is depth-weighted, so a thin venue shouting one direction cannot outvote a deep venue.
3. Fetch past the band. If the levels we fetched stop before the band edge, the depth is truncated and the imbalance is an artifact of the fetch, not the market — we flag that as book_truncated instead of reporting a number.
4. Price a real order. Top-of-book looks liquid on almost everything; the honest question is what $5,000 pays.
5. Flag disagreement. When venues disagree on the sign of the imbalance we raise venue_divergence — the local-manipulation pattern.

Public exchange data only — no API keys, no orders, no account access. An order book describes current resting liquidity; resting orders can be cancelled at any moment, so this is a snapshot of conditions, not a prediction.