Reference · Liquidity and Market Data
Depth of Market: Price Levels and Available Quantity
Read market-depth levels with a worked quantity example, while distinguishing exchange books, OTC quotes and price ladders without actual volume.
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Published by FxTrusts, a supplier of brokerage and prop firm technology. Prepared with AI-assisted research and drafting; reviewed against the cited public sources. Examples are illustrative. Product links describe our services.
What is Depth of market?
Depth of market shows prices and quantities around the current market when the source provides them. Its meaning depends on the venue and feed. Exchange orders, OTC quoted sizes and calculated price levels are different records and do not provide identical evidence of executable liquidity.
Identify what the ladder represents
MetaTrader’s documentation distinguishes exchange depth from OTC depth. An exchange-connected view can show participant order prices and volumes. An OTC view can use a broker’s quoted prices and sizes, and a view without supplied volume may show calculated price steps instead. Before interpreting a ladder, record the feed, instrument, number of levels and whether quantities are actual supplied values. A visually populated panel is not sufficient proof of market depth.
Read each side in the correct direction
Bids represent prices to buy from a seller, and asks prices to sell to a buyer. A market buy consumes eligible ask-side quantity; a market sell consumes eligible bid-side quantity. Add quantities only after confirming their units and whether each level is incremental or cumulative. Some displays show the quantity at each price, while others show a running total. Summing running totals would count the same liquidity repeatedly.
Displayed depth is a snapshot, not a reservation
Orders can arrive, be canceled or change while a request travels. A quote may also be subject to account credit, minimum size or execution-policy conditions. The quantity shown at a particular instant is therefore not automatically reserved for the next user. A planning calculation can assume unchanged available levels, but an actual execution review must use the fills and source records rather than treating the earlier book as a binding result.
Use depth to ask better acceptance questions
A feed review should test missing levels, empty sides, zero-size updates and a changed instrument session. Confirm whether the source sends a full snapshot or updates that depend on prior state. Check how the terminal labels delayed or unavailable depth. If a product displays a price ladder without volumes, describe it accurately; do not let a useful order-entry interface become an unsupported statement about available market capacity.
A synthetic ask ladder
Assume the quantities below are incremental units at each ask price, all remain executable, and no other participant trades first. A buy of 90 units uses 30 at 20.00, 40 at 20.02 and 20 at 20.05. The resulting weighted price is 1,801.80 divided by 90, or 20.02. This calculation illustrates the ladder, not a promised future fill.
| Ask price | Units at level | Cumulative units |
|---|---|---|
| 20.00 | 30 | 30 |
| 20.02 | 40 | 70 |
| 20.05 | 50 | 120 |
Implementation checklist
- Identify whether levels are exchange orders, OTC quotes or calculated steps.
- Confirm quantity units and incremental versus cumulative display.
- Record source and timestamps before comparing depth with executions.
- Test how missing or stale depth is exposed to users and downstream systems.
Sources
These documents support the reference. Check the original publication for current requirements and the limits of its scope.
- MetaTrader 5 depth of marketwww.metatrader5.com
- MetaTrader 5 price datawww.metatrader5.com
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