Market depth: meaning and how to read an order book

Market depth shows quantities waiting to buy and sell at different prices in an order book. A bid is a buyer’s quoted price; an ask, or offer, is a seller’s quoted price. Depth helps you see whether the quantity offered near the best price could cover an order. It is a changing snapshot, so it cannot guarantee your execution price or tell you which way the market will move.

Reading the columns beside a price

The highest bid and lowest ask are the best quoted prices. Their difference is the bid-ask spread. A narrow spread can coexist with little quantity. Check both price and size when considering what a quote means for a particular order.

Market depth vs volume, open interest and the last price

Four numbers on a quote screen are often confused. The last traded price is where the latest trade happened. Volume is the quantity already traded in the session. Open interest, for futures and options, is the number of contracts still open. Market depth is different from all three: it shows orders that are waiting and have not traded.

A share can have large volume and a thin book at the same moment, or a heavy book and little volume. Read them together, and remember that the book changes by the second.

NSE depth levels: what is actually visible?

NSE’s published feed descriptions distinguish Level 1, Level 2 and Level 3. Level 1 provides the best bid and ask. Level 2 provides up to the best 5 prices on each side, while Level 3 provides up to 20. NSE separately describes tick-by-tick data as offering the full order book. These descriptions were checked on 16 October 2026.

A broker may expose a different view depending on the instrument, platform and data entitlement. A deeper exchange feed being a paid product does not establish that every broker charges customers separately for its depth window. Read the provider’s current terms rather than assuming a universal retail price.

The sum of visible price rows can differ from a field labelled Total Buy Quantity or Total Sell Quantity. In a July 2018 staff reply on Zerodha’s developer forum, those totals were described as pending quantity at the exchange. They need not equal the sum of the rows you can see. Check your platform’s current definition.

How to open 20 depth on Kite

Zerodha's support page says its 20 market depth, also called Level 3 data, shows the top 20 bids and offers with their prices and quantities, while regular depth shows the top 5. The same page says the 20-depth view is available only for NSE stocks. It does not mention F&O contracts or other exchanges for this feature.

• Kite mobile: tap the stock, scroll down, and tap Show 20 depth. You can also use the dropper icon in the order window.
• Kite web: hover over the stock, click the Market Depth icon, then click View 20 depth.
• Regular depth: the 5-level view covers stocks and F&O contracts.

Other brokers have their own screens and rules, so check your broker's help pages for what you can see and whether any fee applies.

Worked example: an order larger than the best offer

The following made-up share order book is fixed only for this illustration. Assume no competing orders, cancellations or new quotes arrive while a market buy for 150 shares executes. The best bid is ₹99.90.

The quoted spread is ₹100 − ₹99.90 = ₹0.10. The buy consumes 100 shares at ₹100, costing ₹10,000, then 50 shares at ₹100.20, costing ₹5,010. The total is ₹15,010 and the weighted average price is ₹15,010 ÷ 150 = approximately ₹100.0667.

Compared with buying the whole quantity at the initial best ask, the extra execution cost is ₹15,010 − (150 × ₹100) = ₹10, before charges. This is often described as walking the book: an order uses successive price levels. Real execution can differ because the book changes before and during matching.

The same idea on the sell side

Selling a large quantity walks down the bid side. Take another made-up book: best bid ₹99.90 for 100 shares, next bid ₹99.80 for 120 shares, then ₹99.60 for 200 shares. A market sell for 200 shares, with no changes in the book, fills 100 shares at ₹99.90 and 100 at ₹99.80. The proceeds are ₹9,990 + ₹9,980 = ₹19,970, an average of ₹99.85.

Had all 200 sold at the best bid, the proceeds would be ₹19,980. The shortfall of ₹10 is the cost of the order being larger than the quantity at the top of the book, before charges. In a real market the book moves while your order executes, so use this as a way to think about size, not as a prediction.

Why displayed quantity can disappear or replenish

An outstanding order is different from a completed trade. A visible quantity may change as orders execute, arrive or are withdrawn. A displayed buy wall is therefore insufficient evidence that a price will hold. The order count also does not prove that the quantity belongs to independent traders.

Zerodha documents a disclosed-quantity facility for equity orders: only a portion appears initially, with subsequent portions displayed as execution occurs. Visible size can therefore understate an order’s total quantity. Avoid using “iceberg” as a universal label for every partial-display mechanism; order facilities have their own market and platform rules.

Thin depth in options: the spread as a cost

In options that trade rarely, the gap between bid and ask can be a large share of the premium. For a made-up contract, say the best bid is ₹4.50 and the best ask is ₹5.00. The spread is ₹0.50, which is 10% of the ask. If you buy at ₹5.00 and sell straight away at ₹4.50, you lose ₹0.50 per unit. On an assumed 65 units that is ₹0.50 × 65 = ₹32.50, before charges. The contract has to move in your favour by at least the spread before you break even.

Check the lot size from the exchange before you work out a real figure. A limit order inside the spread may get a better price but can stay unfilled. A market order fills quickly but at whatever prices are in the book at that moment. Which is the better choice depends on how much you value the fill compared with the price.

Using the snapshot in an execution review

• Identify the exact share or derivatives contract, including expiry and strike where relevant.
• Check whether quantity means shares, underlying units or contracts in that display.
• Compare your requested quantity with successive quoted prices.
• A limit order sets an acceptable price boundary; it can still remain unfilled or complete only partly.
• Review executed quantities and prices rather than assuming the earlier screen quote was available throughout.

Depth is one aspect of liquidity. A trade record can compare your chosen benchmark with actual prices to measure slippage. Keep brokerage and other charges separate so the effect of execution price remains visible.

Logging depth and slippage in your journal

Slippage is the difference between the price you expected and the price you got. To measure it, note the best bid and ask when you decide to trade, the order type and the executed prices. After the trade, compare the average fill with the price you planned.

• Write the best bid, best ask and the quantity at each before a large or illiquid order.
• Record the order type and any limit price.
• Record every partial fill with its price and quantity.
• Note the slippage in rupees per unit and in total.
• Review trades with the worst slippage for common features: contract, time of day, size.

OneTradeJournal lets you record entries, exits, notes and tags by hand, and estimates charges per trade, so you can set slippage notes beside the rest of the trade. It does not show market depth or live prices.

Sources

• NSE: Market-data depth levels (checked 16 October 2026).
• Zerodha: Market depth fields (checked 16 October 2026).
• Zerodha: Disclosed quantity (checked 16 October 2026).
• Zerodha developer forum: Pending buy and sell totals (checked 16 October 2026).