Depth of market (DOM)

What depth of market means

Depth of market (DOM) is a live display of the buy and sell orders waiting in the market at different price levels, together with the size of each. Instead of showing only the best bid and best ask, it shows the whole ladder: how many contracts or shares are waiting to be bought just below the current price, and how many are waiting to be sold just above it. It is also called the order book or Level 2 data, although these names are used with slightly different meanings by different vendors.

The term mostly appears with exchange-traded products such as stocks, futures and some crypto venues, where a central order book exists. Day traders, scalpers and anyone placing larger orders use it to see whether a trade can be filled at a good price or whether it will push the market. In decentralized forex and CFD trading, a single central book does not exist, so any depth display is usually limited to one liquidity source or to the broker's own aggregated feed.

How it works

Every limit order that is not immediately matched joins a queue at its price. The book groups those queues into a ladder.

1. Buy limit orders sit below the market and are called bids. The highest bid is the best bid.
2. Sell limit orders sit above the market and are called asks or offers. The lowest ask is the best ask.
3. The difference between best bid and best ask is the spread.
4. When a market order arrives, it consumes orders from the opposite side starting at the best price, then moves to the next level if size remains.
5. As orders are filled, cancelled or added, the ladder updates in real time.

At each level the display shows the quantity. Some versions also show the number of orders and a running total of cumulative size, so you can see how much volume sits within a certain distance of the market.

A worked example

These numbers are illustrative. A futures contract shows this ask side of the book:

• 5,000.00: 40 contracts
• 5,000.25: 25 contracts
• 5,000.50: 60 contracts

The best ask is 5,000.00. You send a market order to buy 80 contracts.

• First 40 contracts fill at 5,000.00
• Next 25 fill at 5,000.25
• Remaining 15 fill at 5,000.50
• Average price: (40 x 5,000.00 + 25 x 5,000.25 + 15 x 5,000.50) / 80 = 5,000.172 approximately

You paid about 0.17 points above the best ask. If the book had held 200 contracts at 5,000.00, the entire order would have filled at one price. This difference is exactly what a thick book near the market protects you from, and what a thin book exposes you to.

Why it matters

Depth tells you about liquidity and likely execution cost. A thick book close to the price means a reasonably sized order should fill with little price impact. A thin book means even a moderate order can move the price through several levels, which is a form of slippage.

It is also useful for placing limit orders. Seeing where large resting orders sit helps you judge how long you may wait in a queue. Some traders watch large visible orders as possible short-term support or resistance, though those orders can be pulled at any moment.

For longer-term investors, depth matters less. For anyone trading size, or trading thinly traded instruments, it can be one of the more informative pieces of live data.

How to use it in practice

1. Check whether your broker offers Level 2 or depth data for the instrument, and whether it costs extra.
2. Look at cumulative size within a few price steps of the market, not just the top level.
3. Compare your intended order size with the visible size before choosing a market or limit order.
4. Split large orders or use limit orders if the book is thin.
5. Watch how the book changes over time, not a single snapshot.
6. Remember what the display covers: one exchange, several venues, or only the broker's own pool.

Common mistakes and misconceptions

• Treating displayed size as certain. Orders can be cancelled in an instant, and some traders place orders they never intend to fill.
• Assuming it shows the whole market. Hidden or iceberg orders, other venues and dark pools may not appear.
• Using it for forex CFDs as if it were a true exchange book. Depth there reflects the broker or provider, not the entire currency market.
• Confusing a big bid with a guaranteed floor. Large orders can vanish when price approaches.
• Overtrading on small fluctuations. The book moves constantly, and most changes carry little information.

Risks and limitations

Depth of market is a snapshot of intentions, not a forecast. It can mislead through spoofing, rapid cancellations and fragmented liquidity. During fast moves, the book can empty out entirely, and prices may jump past levels that looked solid a second earlier. Leveraged trading on thin books can produce rapid losses. Availability, delay and fees for depth data vary by broker and exchange.

How Brokeli looks at it

We note whether a broker provides depth data, for which asset classes and platforms, and whether it is real-time or delayed. Where the product is a CFD, we flag that depth shown may reflect the broker's liquidity source rather than the whole market. This information is part of our published research snapshots for platform and data features.