1
Depth
Displayed resting quantity at multiple bid and ask prices.
Lesson · Volume and Order Flow
Order Book and Market Depth
Inspect resting liquidity, queue changes, spread, depth, and the difference between displayed intent and executed trades.
Core concepts
What to understand
Keep the interpretation direct: participation, aggressive side, and actual price progress.
2
Queue
Orders at the same price wait according to venue priority rules.
3
Events
Adds, executions, modifications, and cancellations change the book.
Interactive lab
Change the market conditions
Use the controls and read the “What the market is doing” explanation after each change.
Order Book and Market Depth Lab
Synthetic educational data · no live market connection
MARKET DATA
Reading process
Follow the reading steps
Do not jump from one number to a trade. Describe the evidence first.
Read spread and depth
How much quantity is displayed near the market?
Track changes
Does liquidity remain, replenish, get consumed, or disappear?
Require execution evidence
Displayed size matters only through its behavior when tested.
Knowledge check
Check your interpretation
Select one answer for each question. Feedback appears immediately.
1. A large bid is repeatedly hit but price does not fall. What may be happening?
Resting buyers are absorbing aggressive selling and preventing lower progress.
2. A large ask disappears before price reaches it. What happened?
Displayed intent is not the same as a completed transaction.
3. Why is depth alone an incomplete liquidity measure?
Liquidity also depends on spread, resilience, impact, and execution behavior.
4. Bids: 420 at 99.99 and 690 at 99.98. Asks: 380 at 100.01 and 610 at 100.02. What are the near-touch depth (two levels each side) and the spread?
420 + 690 + 380 + 610 = 2,100 displayed within two levels of the touch; spread 100.01 − 99.99 = 0.02.
Practical rules
- Depth is one liquidity dimension, not the whole picture.
- Displayed orders can be canceled.
- Use executions and price response to validate a wall.
Common mistakes
- Trading every large displayed order.
- Assuming all liquidity is visible.
- Ignoring order-book speed and queue position.
References
Official reading
The lab is simplified; these sources provide the underlying market and execution definitions.
CME Group · Market by Order
Official description of order-level feeds, depth, and queue information.
CME Group · Alternative Liquidity Measures
Why displayed book depth should be considered with price impact and fill quality.