Market depth

What it is

Market depth is the aggregated resting bid and ask order quantities at price levels around the inside market — in other words, the order book. For each tick away from the best bid and best ask, depth tells you how many contracts are sitting passively waiting to be traded.

Depth is resting liquidity, not executed trades. It's what's offered, not what's hit. That distinction matters: depth shows you what the market is willing to do at each price, while bid/ask volume shows you what it has already done.

Sierra Chart records depth in real time and persists it, which means you can study how the order book evolved over a session — what got pulled, what got hit, what reappeared — not just a snapshot of the current ladder.

Why it matters

Depth gives you a forward-looking view of liquidity. Reading it well lets you anticipate where price is likely to find support or resistance based on resting size, and where it's likely to accelerate through (thin depth = fast move once aggressors arrive).

Key uses:

• Identify levels with persistent large resting orders that act as barriers.
• Detect order pulls — a wall of size that disappears the moment price approaches it (a known spoofing signature, even if you can't legally call it that).
• Read the asymmetry between bid-side and ask-side depth over time as an indicator of structural inventory.
• Correlate depth changes with footprint reads to confirm absorption — heavy resting size that keeps refilling as it gets hit.

How traders use it on Sierra Chart

Sierra Chart provides depth in several forms. The native DOM panel shows the current ladder with size at each price tick. Historical depth data — the time series of the order book — drives depth heatmaps, where intensity over time encodes resting size at each price.

For traders combining depth with order flow, the typical setup is a Numbers Bars chart for executed activity plus a depth heatmap or DOM view alongside it for resting liquidity. The two together let you read aggression against available size.

ACSIL studies can also consume depth data, which means custom monitors, alerts, and analytics on the order book can be built without leaving the platform.

Common patterns / pitfalls

• Resting size that disappears the moment price approaches is a known phenomenon. Treat large untouched walls with appropriate scepticism.
• Depth is most informative in liquid, regulated futures during cash hours. In thin overnight conditions or low-volume contracts, the signal degrades fast.
• Depth and flow disagree all the time. The order book shows intent; trades show realisation. The interesting moments are when flow consumes depth (genuine breakout) vs depth absorbs flow (genuine absorption).
• Iceberg orders — large resting size hidden behind a smaller visible quantity — distort raw depth reads. Watch for prices that "should" break given visible size but don't.
• Depth changes faster than you can read it. Use depth heatmaps for context, not for tick-by-tick decisions.

Related SCS studies

Market Depth Manager surfaces the resting order book as an actionable on-chart layer and provides controls for monitoring depth structure over time without staring at the raw DOM ladder.