Markets & trading
Market depth is the quantity available to buy or sell across multiple price levels in an order book. It shows more than the best bid and ask but remains a changing snapshot.
Make it click
The first item has one price, while the shelves behind it contain different quantities at different prices. A larger purchase reaches farther into those shelves.
Now put that into markets
Level-two or order-book data displays queued interest by price under venue rules. A marketable order consumes levels until filled.
Depth can be fragmented across venues and may include orders that cancel before execution. Hidden, reserve and conditional orders mean displayed depth is incomplete.
Match snapshot time, venue, side and quantity. Estimate price impact for the intended order rather than quoting total depth without a price range.
An order book records intentions, not commitments until matched. Apparent depth can vanish in fast markets or be strategically placed.
Takeaway
