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What is market depth?

In one line: Market depth shows how many buy and sell orders are waiting at each price above and below the current price, and how much size sits at each one.

Trading glossary · Updated 2026-10-21

The short answer

The quote you see, like $20.00 bid and $20.01 ask, is only the top of the line. Behind it are more orders at other prices.

Market depth shows them. It's also called the depth of market (DOM), the Order book, or Level 2.

A simple example

Here's a depth table for a stock:

Now say you send a Market order to buy 1,000 shares.

• 400 fill at $20.01
• 600 fill at $20.02

Your average price is (400 × $20.01 + 600 × $20.02) ÷ 1,000 = $20.016. You paid a little more than the quote, because the first price didn't have enough shares. That's Slippage.

"Deep" vs "thin"

• Deep market: lots of orders at each price. Big orders fill with little slippage. Large stocks and the main futures contracts are often like this.
• Thin market: few orders. Even small orders can move price. Small stocks, quiet hours, and moments around news are often thin.

Why it matters

Depth tells you how easily you can get in and out. That's Liquidity in action.

It also matters for your size. If you trade a thin market, a Limit order lets you set the worst price you'll accept. See market vs limit order.

A common mistake

Believing every order you see. Orders in the book can be cancelled in a split second. A big wall of 50,000 shares at $19.95 might vanish when price gets close. Placing big orders you never mean to fill, to trick others, is called spoofing and is illegal. But orders get cancelled for normal reasons all the time too.

And some size is hidden. Iceberg orders show only a small piece, and Dark pool orders don't show at all.

Questions