Updated 2026-07-25
Order book depth is the resting limit-order size available at each price level. It answers the question that matters for execution and for cascades alike: how much can trade here before price has to move? Thin depth means a modest market order walks several levels; deep books absorb size with little movement.
Depth is the counterweight to cascade fuel. The same cluster of liquidation prices is dangerous into a thin book and unremarkable into a deep one, because forced liquidations must consume whatever depth exists. It is also the least trustworthy data on a screen, since resting orders can be pulled instantly and some of what you see is never intended to fill. See spoofing, and the full guide on order book depth.