// definition
Market depth
Quantities available at quoted prices
freshreviewed 0 days ago
Short definition
The quantities offered for purchase and sale at each price level of an order book at a given instant. Depth at the best bid and offer describes only the inside tier. It differs from the total outstanding stock and past trading volume; quotes can be withdrawn or replenished.
risk atlas
Knowledge map
Intuition
A large sale can exhaust the best bid and reach lower price levels.
Related analyses
Primary sources
- New York Fed, Treasury liquidityInside-tier depth, spreads and price impact.