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.
ReviewedEvidence1 sourceSectionPhrases & Idioms
Quick answer
Market depth describes how much trading interest or order-book quantity is available around market prices, affecting how readily larger trades can be absorbed.
Key details
Canonical Formmarket depth
Core MeaningMarket depth describes how much trading interest or order-book quantity is available around market prices, affecting how readily larger trades can be absorbed.
Further guidance
History Boundary
Current authoritative financial meaning is published without claiming an exact inventor, coinage date, or absolute first use.
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.
Usage Boundary
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.
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.
A “bear market” is a period in which financial-market investments are generally falling in value. The dictionary definition does not require one universal percentage threshold, so do not make a fixed numeric cutoff part of the core meaning.
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.
A crossed market occurs when the best bid to buy is higher than the best offer to sell. A crossed market is distinct from a locked market and can make an NBBO unreliable for some execution-quality calculations; do not use the terms interchangeably.
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.
A national market system plan approved by the Securities and Exchange Commission, temporarily or permanently, pursuant to § 242.608. Keep the approval and § 242.608 scope in the definition; this is not a generic label for any market-system operating plan.
Under current U.S. Regulation NMS, an “exchange market maker” is a member of a national securities exchange registered as a specialist or market maker under that exchange’s rules. Keep this definition tied to the Regulation NMS rule text; it does not define every market-making role outside that regulatory context.
