Market Depth
The volume of open buy and sell orders at various price levels — a measure of how much size the market can absorb without large price movement.
Market depth describes how much liquidity is available at prices away from the current inside market. A deep market can absorb a large order with minimal price impact; a shallow market moves sharply when any significant size hits it.
Depth is visualized as a depth chart — a cumulative curve of bids to the left and asks to the right, sloping away from center. Steep walls indicate large resting orders at specific levels that act as short-term support or resistance.
Thin depth is a key driver of slippage on market orders and is a risk factor for strategies that need to enter or exit quickly with size.
Related Terms
Level 2 Data
The full order book showing all visible bids and asks beyond the best inside quote, including size at each price level.
IntermediateOrder Book
The real-time record of all outstanding buy and sell limit orders for an asset, organized by price level.
BeginnerOrder Flow
The stream of incoming buy and sell orders hitting the market — analysis of order flow reveals who is aggressive and where price is likely headed next.
AdvancedSlippage
The difference between the expected fill price and the actual fill price. Positive slippage benefits you; negative slippage costs you.
BeginnerTime and Sales
The chronological record of every executed trade in a security — price, size, and timestamp — also called reading the tape.
Intermediate