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.