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Depth of Market Definition

Depth of Market is commonly abbreviated to “DoM” and verbally pronounced “dom”. Depth of Market is an indicator of the liquidity of a market. This indicator is quite common in trading platforms, cTrader included. The most common format of this indicator is to aggregate the Depth of Market. This means that if there are two orders in the order book at the same price, they will be grouped together in one row and their volumes will be added together. Aggregated DoM will show one tier of volume for one price. You can create different conclusions from the movement of the DoM which is why it’s very important to a lot of traders. If the DoM ladder is long or short, there is more volume on one side than the other, if it’s moving fast or slow, all of these different behaviours can mean different things about the market.

A non-aggregated Depth of Market lets you see each individual quote in the market. For example, a non-aggregated DoM feed will show;

  • 1m BUY EUR/USD @ 1.14445
  • 1.5m BUY EUR/USD @ 1.14445
  • 2m BUY EUR/USD @ 1.14445
  • 500k BUY EUR/USD @ 1.14446
  • 1.5m BUY EUR/USD @ 1.14446
  • 2m BUY EUR/USD @ 1.14446

Whereas an aggregated (normal) DoM as it is in cTrader would show:

  • 4.5m BUY EUR/USD @ 1.14445
  • 4m BUY EUR/USD @ 1.14446

As you can see, the volumes have been aggregated to show one tier per price.

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