Market depth
What does market depth mean, and why can't candle data tell you how much sits waiting near the price?
In plain words
Market depth is the volume of buy and sell orders resting just above and below the current price, usually seen in an order book. Candles record only the prices at which trades printed, so they show how far price travelled, not how many orders were waiting along the way.
Why it matters
Depth sets how much can be traded before the price has to move. In a thin book a modest order pushes the price several percent; in a deep book the same order barely registers. Risk estimates built only on past price moves assume depth that may already be gone, because depth can drain in seconds while candle-based measures change slowly.
In a real week: BTC, week of 1 April 2019
In the week of 1 April 2019 BTC rose 26.03% across a 29.7% range, with dollar volume of 2.05bn at 2.76 times its prior 12-week average, and a largest hourly move of 7.63% early on Tuesday. The candles show how far price ran and how heavily it traded, but not how many resting orders were consumed on the way; a 7.63% hour could reflect sweeping a thin book or meeting heavy supply, and this data cannot separate the two.
A common mistake
Treating high volume as evidence of deep markets. Volume counts what traded; depth counts what is waiting, and the two can move in opposite directions during a fast market.