Regulation NMS defines depth of book data using quotation sizes at each covered exchange or association for the next five bid prices below the national best bid and the next five offer prices above the national best offer. This page uses the current U.S. Regulation NMS definition; do not generalize the exact five-level regulatory specification to every product marketed as market-depth or order-book data.
ReviewedEvidence1 sourceSectionPhrases & Idioms
Quick answer
In Regulation NMS, depth of book data is the defined quotation-size information for specified price levels beyond the national best quotes.
Key details
Canonical FormDepth of Book Data
Core MeaningRegulation NMS defines depth of book data using quotation sizes at each covered exchange or association for the next five bid prices below the national best bid and the next five offer prices above the national best offer.
Further guidance
History Boundary
This page uses the current U.S. Regulation NMS definition; do not generalize the exact five-level regulatory specification to every product marketed as market-depth or order-book data.
Meaning
In Regulation NMS, depth of book data is the defined quotation-size information for specified price levels beyond the national best quotes.
Usage Boundary
This page uses the current U.S. Regulation NMS definition; do not generalize the exact five-level regulatory specification to every product marketed as market-depth or order-book data.
Sources and evidence
Sources are shown with the role they play in this guide. Historical or style-sensitive claims are kept within the evidence boundary described above.
Administrative Data is a current Regulation NMS defined term for specified administrative, control, and technical messages in the market-data plan framework.
Consolidated Market Data is a current Regulation NMS defined term for enumerated data consolidated across national securities exchanges and associations.
Consolidated Market Data Product is a current Regulation NMS defined term. This guide preserves the specific U.S. securities-rule scope instead of substituting an ordinary-language meaning.
Regulation NMS defines core data as specified quotation and transaction information for NMS stocks, including best-quote, protected-quote, odd-lot, depth-of-book, auction, and transaction elements. Treat this as a U.S. securities-regulation definition. The everyday phrase core data can mean something broader and should not be substituted for the rule-defined category.
Last Sale Data is a current Regulation NMS defined term. This guide preserves the specific U.S. securities-rule scope instead of substituting an ordinary-language meaning.
Market depth describes how much trading interest or order-book quantity is available around market prices, affecting how readily larger trades can be absorbed. Market depth is a quantity/order-book dimension of liquidity; it is distinct from the bid-ask spread and from the price change caused by a trade.
