Depth of Market (DOM)

Depth of market is the live order book seen by price: the resting limit orders waiting to buy below and sell above the current price. Where order flow shows trades that executed, the DOM shows the liquidity that has not traded yet.

What is depth of market?

An exchange order book is a list of limit orders at each price. Bids sit below the current price, asks sit above it, and the best bid and best ask define the spread. The DOM stacks those resting quantities by price so you can see how much size is waiting on each side and where it clusters.

This is resting liquidity, not executed volume. An order in the book is an intention to trade at a price; it only becomes a trade when someone crosses the spread to take it. Until then it can be added to, reduced, or pulled at any moment.

Why does it matter?

The DOM describes the supply of liquidity around price — the counterpart to the demand that order flow measures:

• Liquidity clusters — large resting size at a price marks where a lot of limit interest currently sits.
• Thin areas — prices with little resting size are where the book is sparse and quotes can move quickly.
• Book changes — size appearing, growing, or being pulled as price approaches is descriptive context about how liquidity is behaving.

These are descriptive observations about the current state of the book — context for self-directed analysis, not predictions. Resting orders can be cancelled before they ever trade.

How traders use it

• Watching where resting size is concentrated relative to the current price.
• Comparing how the book reacts as price approaches a large quantity — whether it holds, grows, or disappears.
• Reading the DOM alongside order flow to see resting liquidity (limit) against aggressive participation (market) at the same prices.

Example on a chart

Common mistakes

• Treating resting size as a guaranteed wall. Limit orders can be pulled before price reaches them; size in the book is an intention, not a commitment.
• Confusing the DOM with executed volume. The order book shows liquidity waiting to trade; footprint and delta show what actually traded.
• Reading a single snapshot. The book is dynamic — what matters is how it changes as price moves, not one frozen frame.

How TSP Core visualizes it

TSP Core renders the live order book by price, updating resting bid and ask quantities in real time as the book changes. It sits alongside the order-flow and footprint views, so you can read resting liquidity against the aggressive volume that trades into it. The depth view stays in sync with the same live feed behind the rest of the workspace.