The depth ladder in ATAS is a configurable view over the order book rather than a fixed quote window. Columns, aggregation steps and event annotations are all parameters, which means two analysts can look at the same instrument and see materially different ladders without either of them being wrong.
01 Column sets and the aggregation step
The aggregation step groups adjacent price levels into one displayed row. A step of one tick shows the raw book; a step of four ticks shows four levels summed. Larger steps reduce noise and hide the microstructure that some configurations exist to expose.
| Step | Rows per point | Preserves |
|---|---|---|
| 1 tick | 4 | Exact queue position and per-level size |
| 2 ticks | 2 | Local clustering of size |
| 4 ticks | 1 | Coarse liquidity shape only |
Cumulative columns are a separate axis: a column can show resting size, cumulative size to the inside of the book, or the difference between them. Combining an aggregated step with a cumulative column is common and should be documented, because the resulting numbers are not comparable with the per-level view.
02 Pull and stack detection
Two event types are annotated on the ladder. A pull is size that disappears from a level without being matched. A stack is size that grows at a level, or repeats across several levels, without being lifted. Both are threshold-based, and both are sensitive to the refresh rate of the feed — a slow update makes genuine changes look like single events.
- Pull threshold — minimum size change that counts as a pull.
- Stack threshold — minimum size at a level that counts as a stack.
- Confirm window — number of updates the change must persist across.
The confirm window is the parameter most often left at a default and most often responsible for annotations that do not feel credible.
03 Size scaling and colour bands
Ladder rows are tinted according to size relative to a reference. A local reference (the visible window) produces a balanced picture that changes when you scroll. A global reference (a rolling session value) produces a stable picture that can look flat in quiet periods. Bands are defined as thresholds, and each threshold needs a colour that survives a low-contrast display.
- Choose the reference window first: local, rolling or session.
- Set thresholds from observed sizes rather than round numbers.
- Assign two colours per threshold pair — a light fill for resting size, a solid rule for events.
04 Ladder geometry and layout interaction
The ladder can be docked beside a chart, floated, or stacked in a shared column. Geometry matters because the ladder's row height and the chart's row height are independent: aligning them requires matching the tick-to-pixel mapping in both panels, which is done from the layout rather than from the ladder itself. The geometry vocabulary is described on the workspaces and layout templates page.
05 Reading the ladder without over-reading it
Depth is not a commitment. Resting size can be withdrawn, and the ladder only reports what the feed publishes at the moment of the update. Treating every large row as intent is the most common misinterpretation of a depth ladder, and the confirm window described above exists precisely to separate a sustained change from a single refresh.
For a broader vocabulary of order-flow terms, see the glossary. The aggregated numbers produced by the same feed inside a footprint bar are covered on the footprint chart configuration page.