Depth is how much size sits behind each price. Two markets can show the same probability and behave completely differently once you trade size.
Depth decides your real price
A large order eats through the resting interest at the best price and continues into worse ones. The quote you get is the average of everything you consumed, which is why big trades in thin markets fill worse than the headline number.
Depth decides your exit
Cash-out value is drawn from the same book. A position that looks profitable on the mid price can be worth noticeably less if there is nothing on the other side to absorb it.
What to watch
- Depth stacked heavily on one side often precedes a move against the thin side.
- Depth that vanishes as an event nears is normal — plan the exit before it happens.
- Sudden one-sided size right after news is usually informed. Do not fade it reflexively.