Infinance, market depth is a real-time list displaying the quantity to be sold versus unit price. The list is organized by price level and is reflective of real-time market activity. Mathematically, it is the size of an order needed to move the market price by a given amount. If the market is deep, a large order is needed to change the price.[1][2]
In some cases, the term refers to financial data feeds available from exchanges or brokers. An example would be NASDAQ Level II quote data.