A measure of how a market “stably” reacts to, and is able to absorb, relatively large market orders without any big impact on security prices. Deep markets can absorb large trades on either side, relatively comfortably and without any shocks to the market at entry or exit points.
Correspondingly, depth of the market, for short DOM, or order book, reflects the number of open buy and sell orders for a specific security at different prices. This is usually displayed as a real-time list of the quantity of securities offered for sale versus unit price (price levels). The list reflects ongoing market activity in the real time. In calculation, it is the size of an order that can move the market price by a given amount. The minimum the move caused by large orders, the deeper the market, and vice versa.
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