The alternative for depth:
Here is how ccxt library displays depth and most CEX APIs provide it this way.
https://github.com/ccxt/ccxt/wiki/Manual#market-depth
const limit = 30000
const response = await exchange.fetchOrderBook ('ICP/USDT', limit)
Looks like around 5000 orders is the limit. The result range is from 0% to 200%.
If we use this, perhaps its better to split into two functions. ccxt names: fetchMarkets, fetchOrderBook