[clappski]

> haven't seen depth info past the best bid/offer (maybe exists? I'm not an expert)

Most exchanges will provide arbitrary depth in way of a pure order feed. From that you can construct your price book, which gives you the levels of depth.

Some just expose the price book, some price book and order feed, some just order feed.

Some anonymize the order feed, some don't (I think typically in equities it's anonymized although not my asset class, but other markets e.g. power need to be de-anonymized and you can see the other buyers and sellers submissions).

However, that data doesn't represent the market price - I would look to constructing the fair price using the trades made on the exchange rather than the outstanding orders. From that you can create different lenses to view the fair price - e.g. volume weighted, time weighted, other types of averages.