The Smart DOM in ATAS extends the classic depth-of-market ladder with additional computed columns. Each column is derived from the live order book and is updated as the book changes. This reference covers the liquidity columns, the depth aggregation levels, cumulative size, refill and pull detection, row grouping and column ordering.
01 Liquidity column configuration
The ladder always shows price and resting size on both sides. Extra columns can be switched on individually so that a narrow ladder stays readable on a small monitor.
- Resting size — the quantity currently quoted at the price level.
- Session high size — the largest resting size seen at that level during the session.
- Added — size that appeared at the level since the previous book update.
- Removed — size that disappeared at the level since the previous book update.
- Position — the distance of the level from the current mid price, in ticks.
Each column has an individual width setting in character units, from 3 to 12 characters. Columns that are switched off keep their width so that toggling them back does not shift the ladder.
02 Depth aggregation levels
A raw ladder lists every price level the feed publishes. Depth aggregation merges neighbouring levels into coarser steps, which reduces visual noise on instruments that quote a large number of levels.
| Step | Levels shown | Use |
|---|---|---|
| 1 tick | Full feed depth | Microstructure work |
| 2 ticks | Half of feed depth | Fast instruments |
| 5 ticks | One fifth of feed depth | Overview ladder |
| 10 ticks | One tenth of feed depth | Wide-range view |
Aggregation is display only. The underlying book is never altered and the derived columns continue to read raw levels.
03 Cumulative size
A cumulative column adds the resting size of every level between the mid price and the row it occupies. It answers the question of how much depth stands between the current price and a given level.
- Choose the side or both sides for the cumulative column.
- Select whether the running total starts at the best quote or at the outermost level.
- Set a unit divisor for readability, for example thousands.
On an instrument quoting twenty levels a side, the cumulative column makes the shape of the book visible at a glance without reading individual rows.
04 Refill and pull detection
Refill detection watches for size that reappears at a level shortly after it was removed. Pull detection watches for size that disappears without a matching trade at that level.
- Refill window
- The time allowed between a removal and a matching reappearance, typically 200 ms to 3 s.
- Size tolerance
- How close the reappearing size must be to the removed size, in percent.
- Pull threshold
- The minimum removed size that is flagged as a pull.
- Marker lifetime
- How long the flag stays on the row before it fades.
Both detectors are display-only flags. They do not modify the ladder and are cleared when the workspace is reopened.
05 Row grouping
Rows can be grouped so that a single line in the ladder represents a range of prices rather than one level. Grouping differs from aggregation: aggregation sums the book, whereas grouping only changes how rows are presented while the individual levels remain addressable.
06 Column ordering and colour coding
The order of columns in the ladder is user-defined. Bid-side columns are placed to the left of the price column and ask-side columns to the right; the price column itself cannot be moved.
| Position | Column |
|---|---|
| 1 | Cumulative bid size |
| 2 | Resting bid size |
| 3 | Price |
| 4 | Resting ask size |
| 5 | Cumulative ask size |
Colour coding is applied per column type, so a change to the resting-size colour updates both sides at once. Related material appears in Big Trades and Stacked Imbalances and the chart module reference.