Market Depth (Level 2)
The order book beyond the top — up to ten price levels per side, with size at each.
What it means
Level 2 shows the ladder: not just the best prices but the next levels behind them. Depth answers "what happens if someone buys 20,000 shares right now?" — you can read how far the price would walk through the ladder.
Availability differs by broker and data plan: some feeds provide ten levels, some five, some only the top. A strategy written against deep levels should check they exist before relying on them.
Why traders care
- Estimates impact cost for your actual order size, not a theoretical one.
- Walls and vacuums in the ladder shape where price accelerates or stalls.
In a TraderWe strategy
if BidSize1 + BidSize2 + BidSize3 > (AskSize1 + AskSize2 + AskSize3) * 2:
Buy()Near-book imbalance: twice the resting size on the bid side of the top three levels.
Related terms
Educational content, not investment advice. Engine details describe how TraderWe computes this value; other platforms may define it differently.