In a market depth document, you can see a summary of all orders that are currently in the market. The document is continuously updated as new orders arrive and existing orders are filled or being pulled from the market.
A market depth document consists of four parts, or views. The orders that are currently in the market are grouped by their depth level in every view. Each depth level can be colored differently.
Note Market depth is only available if the exchange provides the necessary data.
The price view displays the inside market quote for the symbol (highest bid and lowest ask price) in columns – think of it as a price page with only one symbol. It can be customized in the same way as a price page: You can insert and rearrange columns, change the update style of a column and customize font, colors and grid lines.
The summary view shows a table with a summary of all orders that are in the market, grouped by depth level. The best bids and asks are displayed at the top. You can see the bid / ask prices of each level, the calculated spread, the number and accumulated size of the orders at this level, and the accumulated size of orders over all levels.
The graph view visualizes the data displayed in the summary view. Each bar represents a depth level. The length (or height) of the bar represents the size of the orders at this depth level. The bars can be displayed vertically (ask bars are shown in the top part) or horizontally (ask bars are shown in the right part).
The graph view is divided into two sections: The ask section and the bid section. The background color for each section can be set individually. You can also choose if you want the two sections to take up the same amount of space (fixed separation line), or if you want to see which side has more orders with a floating separation line.
The depth view shows all bids and asks side by side. It shows more detailed data than the summary view (at the moment only available for NASDAQ). The best bids and asks are displayed at the top.