I thought the VWAP is not affected by market depth but by the...

I thought the VWAP is not affected by market depth but by the actual volume of shares sold and at what price during a defined period of time. 30 day VWAP would look at the actual daily sales over a 30 day period and the weight of volume at particular price points to give the weighted result of trading over the period.

To me market depth is just smoke and mirrors to provide misleading signals to the market on if there is demand in a share or the stock is unloved with sellers stacking up. The stack at 0.01 (buy side) just is propping up the buy side and having it that low makes it very unlikely the entity propping that buy side gets caught out by a seller selling into the buy. When an entity is buying or selling, past experience is they are not placing trades on the market depth with buy and sell orders waiting for a contract to be executed.