Lesson 2 of 6 · 2 min
Book structure
Levels of depth, where liquidity tends to cluster, and what thin and thick books look like.
Depth
Market depth is how much size rests at each level away from the inside market. Most feeds show a fixed number of levels on each side — often ten — so the DOM is a partial view.
Where size tends to sit
- Close to the inside market, where market makers continuously quote.
- At round numbers and obvious reference levels.
- In front of levels many participants watch — though it may be pulled when price arrives.
Thick vs thin books
- A thick book (lots of size per level) absorbs aggression; price moves slowly.
- A thin book (little size per level) lets small orders move price several ticks; moves are jumpier and slippage is higher.
Key Insight
Book thickness changes with time of day and news. The same order size that barely moves ES at 11:00 can move it noticeably around a major data release, when liquidity providers pull back.
Trading implication
Notice how thick the book is before you size up. Thin books mean more slippage on your stops.
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