What market depth measures
Beyond the best bid and ask, an order book holds further orders at worse prices on each side. Market depth is the size of those resting orders at each level, taken together. A market with large orders stacked across many levels is described as deep, while one with little resting size is described as thin. Depth is therefore a direct measure of how much volume is available to trade near the current price.
Depth of market and depth charts
Market depth is commonly presented in two ways. The depth of market, or DOM, is a ladder listing the resting bid and ask sizes at each price level. A depth chart plots the cumulative volume available on each side, rising away from the current price, which makes the balance between buyers and sellers easy to read at a glance.
What depth reveals about liquidity
Market depth is one of the clearest views of liquidity. Deep books can absorb large orders with little price movement, while thin books move sharply when a sizable order arrives. Depth also indicates how far a large order would move the price as it consumes successive levels, a cost known as price impact or slippage. This is descriptive information about the state of the book rather than a forecast of future prices.
Market depth and Level 2 data
Observing market depth requires more than a top-of-book quote. It is carried by Level 2, the depth-of-book market data feed that exposes multiple price levels on each side. Level 1, by contrast, shows only the best bid and ask and therefore no depth. Market depth is the concept; Level 2 is the data that delivers it.
Depth and aggregated pricing on SiftingIO
SiftingIO concentrates on clean top-of-book pricing and a single aggregated fair price across stocks, forex, crypto, and commodities under one schema. Where full order book depth is required, the data methodology describes what SiftingIO currently publishes and how the aggregated price is constructed, and additional datasets can be requested.