It is generally advised to only have one depot. Having a second is known to cause bugs in the merchant AI.
If you are dead set on having two there is a small possibility that blocking all access to a depot (for example with a raising drawbridge) would make the merchants path to the depot that was accessible, but I have not tested it. Such a gateway would need to be creature tight, because otherwise some of the traders could still path to it.
Such a construction would look like this:
0000000
0DDDDD0
0DDDDD#
0DDDDD#
0DDDDD#
0DDDDD0
0000000
Where 0 is wall, D is your depot, and # is a bridge built to raise westward. The bridge would need to be attached to a lever in order to be opened an closed. You would need to arrange both depots like this and leave just one of them open, and it still might not work, or might not work reliably.