1. The market’s ability to absorb large securities orders without significantly affecting the price of the security. A market’s depth is considered to be an important part of selecting securities and markets.
  2. In Trader Workstation, Market Depth is an independent, but integrated component that facilitates large volume trades using cumulative quantities and average execution price available at a particular price or better. The TWS Market Depth window lets you better gauge market liquidity by displaying the alternative bids and offers away from the inside quote.