Trading term
What is Market depth?
Market depth is the dollar value of limit orders resting in an exchange's order book within a given distance of the current price — bids below it, asks above it. A deep market can absorb a large order with little price movement; a thin one cannot. Exchanges draw it as two cumulative curves meeting at the mid, the depth chart.
Depth is measured as a band: everything resting within 1%, 2% or 5% of the mid price, on each side, added up in dollars. Within 1% is the number that matters for a trader about to send a market order, because it is roughly what would have to be filled before price moved a full percent. On Binance's bitcoin perpetual that band has held a few hundred million dollars on an ordinary day — and a day's traded volume is forty to eighty times that, because the book is refilled continuously as orders trade or are cancelled.
The important thing about depth is that it describes orders that have not traded yet, and whose owners can cancel them at any time. Most of the resting size belongs to market makers who quote on both sides and pull those quotes the moment price starts to move fast. So the book is fullest during quiet hours and on weekends, and thinnest in the middle of a big move — the depth chart tends to empty on exactly the days it is looked at. The bid/ask imbalance in the band, which traders read as buy walls and sell walls, mostly reflects the move that has already happened: when price falls into the bids, the bids come into the band and the asks drop out of it.
For example
Bitcoin's mid is $100,000. Within 1% — $99,000 to $101,000 — the book shows $150M of bids and $120M of asks. A $50M market sell would fill against the first $50M of bids and might move the price a third of a percent, if none of those bids were cancelled as it arrived. The next day, in a fast fall, the same band shows $20M.
Go hands-on in Premium
That's Market depth in theory — it clicks when you read it on a live chart. Practise it hands-on in the TradeWize Premium Futures & Derivatives track.
Explore Premium →Why it matters to you
Depth tells you what your own order will cost to fill and how far a forced order — a liquidation, a stop — can push price before it finds a buyer. Knowing that the book is thin exactly when the market is moving is what turns 'there's a big buy wall at $99,000' from a plan into a warning: the wall is a picture of resting orders, not a promise that they will still be there.
⚠ Reading a buy wall as support
A bid-heavy book is what a fall leaves behind: the band moved down onto the resting bids and away from the resting asks. In three and a half years of daily bitcoin readings, the most bid-heavy days were down days more than four times out of five, and the imbalance said nothing about the next day. Large resting orders can also be cancelled the moment price approaches them, so a wall can vanish before it is ever tested.