Education

Market Depth Checklist

By Walid Mograbi · 2026-06-18 · 1 min read

Before sending a market order, review the order book so you can estimate how easily your order can be absorbed and avoid discovering execution impact after the order is already filled.

Market Depth Checklist

Core idea

Before you submit a market order, check whether the visible market can absorb your order size without a large price move.

Step 1: Open the order book

• If orders near the current price are few, liquidity is thinner.
• Thin liquidity means the market may struggle to absorb a large order smoothly.

Step 2: Compare best bid and best ask with visible size

• Small quantity at the top-of-book levels means your order can quickly move beyond the first level.
• After a good first fill, the remaining size may execute at worse prices.

Step 3: Check the buy/sell balance

• If one side dominates clearly, your order may move the price instead of being filled in place.
• This is especially important for larger order sizes.

Quick visual checklist before a market order

• Order-book density near the current price
• Best bid and best ask size
• Balance between both sides

Why this matters

• It helps estimate execution cost before sending the order.
• You reduce the chance of being surprised after the order is already filled.

Lesson warning

• Market depth can change fast and does not guarantee the final price of execution.