Trading glossary · practical definition

What is order book depth?

The visible quantity available at bid and ask prices away from the mid-price.

Order book depth in plain English

The visible quantity available at bid and ask prices away from the mid-price.

Depth helps estimate price impact but can change or be cancelled before execution.

Practical example

Two venues can show the same spread while one has much more size within 10 basis points.

Common mistake

Treating displayed liquidity as guaranteed.

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