Definition of 'Depth of Market'
A measure of the number of open buy and sell orders for a security or currency at different prices. The depth of market measure provides an indication of the liquidity and depth for that security or currency. The higher the number of buy and sell orders at each price, the higher the depth of the market.
Depth of market data is also known as the order book, since it shows pending orders for a security or currency. This data is available from most exchanges for a fee.
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