Depth

Depth is the total quantity available at each price level in the order book. Deep books absorb large orders with little price movement; thin books do not. Manufactured depth is the mechanism of spoofing and layering.

market microstructure · updated 2026-10-16

Where does depth come up?

This term is used in the following manipulation techniques, each explained in full on its own page.

• Spoofing — Spoofing is placing orders a trader intends to cancel before execution, to create a false impression of supply or demand and move the price toward a smaller genuine order on the other side.
• Layering — Layering is placing multiple orders at several consecutive price levels with no intention of trading them, building an apparent wall of depth that pushes the price toward a genuine order on the other side.

Enforcement actions involving these techniques

See also

• Order book — The order book is the live list of all outstanding buy and sell orders for an instrument, arranged by price, that a trading venue …
• Liquidity — Liquidity is the ability to trade a meaningful size quickly without moving the price much. It is not a single number: it combines …

Terms that refer here

Book imbalance · Layering · Liquidity · Order book

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