Market Depth
The quantity of shares available at each price level on both sides of the order book.
Formula
Depth at a level = total quantity of resting orders at that price on the relevant side
Unit
shares
In depth
Depth determines how far a given order size will move the price, which is the practical meaning of liquidity for anyone trading in size. A stock with high average daily volume can still be shallow at any instant, because volume measures a day's throughput and depth measures a moment's capacity. Indian exchanges disseminate the best five levels; institutional systems infer more from trade prints and cancellations. The chief error is judging tradability by volume alone, then discovering on exit that a single order moves the price several percent.
Worked example
The five visible bid levels hold 400 + 1,200 + 3,000 + 800 + 2,600 = 8,000 shares. A sell order for 20,000 shares exhausts all of that and continues into unseen levels, so the average fill lands well below the quoted best bid.
Illustrative figures, chosen so the arithmetic is easy to follow. Not a live price and not a valuation of any company.
Educational reference only
This entry explains what “Market Depth” means. It is not investment advice and not a recommendation to buy or sell any security. Any numbers above are illustrative, not live prices, and nothing here predicts price direction or rates a stock. Consider your own circumstances and consult a SEBI-registered investment adviser before acting.