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[Saronsen]

I'm fairly certain this is impossible, but could I potentially make an entirely underground trade depot? To have a tunnel leading from the edge of the map to the depot, closed off from the outside?

Unless I'm right in my hunch that you can't dig out the edges of a map.

[Cobbler89]

You cannot dig out the edges of the map. There are, however, the caverns... although creatures can wander in the edges of the map that are open there, just like above (though I don't think enemy armies/squads can, but on the other hand forgotten beasts do).

As I understand it, your caravan must be able to arrive from an above-ground non-constructed surface (if anyone knows otherwise, please let us both know!); however, it can leave anywhere that it can reach the edge of the map. Hence, while it isn't as far as I know possible to make an entirely underground depot access, it is entirely possible to let the caravan in, cut off the surface access and let them leave through the caverns. Or to build a bridge to the edge of the map and let them out over the heads of your enemies. Not quite the underground tunnel-roads that would be interesting to have implemented in dwarfdom, but enough flexibility to be handy in practical terms if you're creative.

I have a feeling tunnels, and whether dwarven caravans will someday utilize them, have been asked about in the Future of the Fortress thread, though I couldn't point you to the exact posts... there might be some way to search that thread or subforum for it.

[Id Utalrisen]

If you're worried about security, you can just make an airlocked depot.

[Saronsen]

It's not security so much as wanting an underground tunnel/trade route. I played Dragon Age:Origins again and was pretty inspired by the deep roads and wanted a massive, underground system. Alas.

[Azorian]

VERY off topic hear but I totally got Cobbler89's reference in his personal text. Lol. Yay for Shakespear

[Merendel]

While you cant have everything underground you can setup a system where the caravan is only above ground for a few tiles.
step 1 find a side of your embark that caravans can arrive at.
step 2 Wall off a 4X3 area on that edge with raising bridges(bridges touch the border so things cant go around them)
step 3 channel a way into your tunnels from the now sealed caravan bridgewall.
step 4 ensure there are no other paths for even foot traffic to reach your depot from any other map edge other than inside your bridge wall.

Asumeing you left a 3x3 area between the bridges for the caravan to spawn on all caravan's should spawn inside that little walled off area and go right into your tunnles.   Make sure you have a way you can open up to let diplomats/migrants in as they wont spawn in that area.   Warning this could drasticly reduce your !fun! as unless you are extreamly unlucky and a siege spawns right on that spot no enemies will ever be able to attack you and will just mill around on the map edge till they get bored and leave.

Still this is about as close to the deep roads concept as you can get in the current DF caravan setup.

[Larix]

Making the depot otherwise inaccessible isn't necessary - if your depot is reachable by wagon, both wagons and merchants on foot will spawn where the wagon-path meets the map edge. This is even true for elves, who never bring wagons.