Definition
Order book depth
The cumulative size available at and beyond the top of book.
Order book depth is the cumulative size available at and beyond the top of book. In a Central Limit Order Book (CLOB) like Polymarket's, depth measures how many shares you can buy or sell at the best price(s) before the market moves to the next price level.
Key takeaways
- Order book depth shows how much volume sits at and immediately beyond best bid and best ask prices.
- Thin depth increases slippage for larger orders and makes clean intra-market arbitrage harder to size.
- Depth can vary across outcomes and tightens or loosens with tick-size changes and market activity.
In context
On Polymarket, each outcome's order book lists limit orders on the CLOB. Best bid and best ask form the top of book; depth is the sum of available quantities at those top levels and at subsequent price levels until you reach the size you want to trade. For a binary market, shallow depth on YES or NO means a seemingly profitable arbitrage (for example, when bestAsk(YES) + bestAsk(NO) < $1.00) may disappear once you attempt to execute the full size because fills will lift the book.
Practical notes
- Slippage and partial fills: When depth is thin, market (FAK) orders will consume multiple price levels, increasing your average fill price and reducing edge. Expect partial fills if the CLOB cannot match your full size at or within acceptable slippage.
- Tick size effects: Polymarket's tick size usually sits at $0.01 and can tighten to $0.001 near price extremes. Tighter ticks can concentrate depth at more price points; wider ticks can create larger discrete steps where depth is sparse.
- Monitoring depth: Use the CLOB API (order book and midpoint endpoints) or the Market WebSocket's best_bid_ask and book updates to measure instantaneous depth. Combine depth with spread and fees to decide whether a given intra-market arbitrage is practicable at your target size.
See also
- /glossary/order-book