Market Depth

The intuition

Every exchange match is between a resting limit order and an incoming order that crosses it. The resting orders are the depth. If you want to buy 10 lots now, the depth tells you how many are offered at the best ask, how many at the next price up, and so on; the sum of what you walk through is your execution price. A deep book absorbs size with little price change; a thin book moves on small orders. That is why depth is the first thing to check before a market order, and why it matters more for a far strike at 15:35 than for the ATM strike at 10:00.

What each column means

Column	Meaning
Bid price / Ask price	The five best prices at which buyers are waiting and sellers are waiting; the best bid and best ask together make the spread
Quantity	Units (for options, contracts in units, not lots) resting at that price
Orders	Number of separate orders making up that quantity; one order of 3,000 and thirty orders of 100 look the same in quantity but behave differently
Total buy / Total sell quantity	The sum across all resting orders on each side, including levels beyond the five shown
Last traded price, volume, OHLC, circuit limits	Context fields shown with the depth window

The exchange feed carries the five best levels on each side; a 20-level view, available on one retail broker’s platforms for NSE stocks, shows further levels from a separate data stream. Neither view shows hidden intent: an order can be placed and cancelled in milliseconds, and iceberg-style disclosed-quantity orders show only part of their size.

Formula

Average fill price for a market buy of Q units = Σ(price_i × q_i) ÷ Q, walking the ask levels from best to worst until the quantities sum to Q

Slippage versus the best ask = average fill price − best ask

Worked example (illustrative prices)

Suppose NIFTY is at 24,000 and the 24,400 weekly call, trading at ₹58, shows this ask-side depth (quantities in units; one lot is 65):

Ask price	Quantity	Orders
58.00	390	4
58.05	260	2
58.15	1,300	7
58.30	650	3
58.50	2,600	9

A market order for 10 lots (650 units) fills 390 at 58.00 and 260 at 58.05 for an average of about 58.02, a slippage of 2 paise, or ₹13 on the order. A market order for 40 lots (2,600 units) walks through four levels and part of the fifth: the average is about 58.26, a slippage of 26 paise, or ₹676. A limit order at 58.05 for the full 40 lots would fill 650 units immediately and leave 1,950 resting, becoming part of the bid-side depth other traders see.

Why it matters

• It prices immediacy. Depth converts the abstract idea of liquidity into the rupees a market order will cost at this moment.
• It is the only guide in a locked or fast market. When a stock is in upper circuit the depth shows the one-sided queue; in the last ten minutes of an expiry session the depth on far strikes can empty out entirely.
• Order count qualifies quantity. A level made of one large order can vanish with one cancellation; a level made of many small orders is stickier.
• Depth and OI answer different questions. Open interest counts positions already open; depth counts orders not yet executed. A strike can have huge OI and an empty book.

Common mistakes

• Reading total buy quantity above total sell quantity as bullish. Resting orders are often placed away from the market to catch a move, and large orders can be withdrawn in an instant.
• Reacting to a large order at a single level. Layering and spoofing, placing and cancelling orders to create a false impression, are prohibited by SEBI, but a visible order is still not a commitment until it trades.
• Placing market orders in options without looking at depth. The standard chain shows only the last price; the depth shows what the next trade will actually cost.
• Expecting the five levels to be the whole book. Total quantity includes levels beyond the five shown, and disclosed-quantity orders hide most of their size.

Indian specifics

NSE and BSE disseminate the five best bid and ask levels with quantity and order count for every security and contract; this is what broker platforms display as market depth. One retail broker offers a 20-level depth view for NSE stocks on its own platforms, which it describes as the only such retail offering, and it is not available through its API. Disclosed-quantity orders on NSE must disclose at least 10% of the order quantity. Pre-open sessions on both exchanges show an indicative equilibrium price and quantity rather than depth. The exchanges’ own websites show depth with a delay; broker platforms show it in real time under the exchange’s data agreements.

FAQ

What is market depth?

The resting buy and sell orders at the best prices, with quantity and order count at each level, plus totals on each side.

How many levels of market depth does NSE show?

Five levels on each side from the exchange feed; one broker also offers a 20-level view for NSE stocks.

Does more buy quantity than sell quantity mean the price will rise?

No. Depth shows where orders are waiting and what a market order costs; it does not forecast direction.

What is the difference between market depth and volume?

Depth is pending orders; volume is executed trades; open interest is positions still open.

How do I use market depth when buying an option?

Compare your size with the ask quantities; use a limit order when your order exceeds the best level; avoid market orders on thin strikes.

Related terms

• Order book, the full structure depth summarises
• Bid-ask spread, the gap between the best levels
• Liquidity, what depth measures
• Limit order, how to add to the depth rather than consume it
• Impact cost, the exchange’s depth-based liquidity measure
• Slippage, the cost of walking the book