Depth at Best Bid Ask
Depth at best bid and ask is the available quantity at the top of the order book. It is the first limit on how much you can trade at the best prices.
Definition
Depth at best bid and ask is the available quantity sitting at the best bid and best ask prices in the order book.
Why it matters
This is the first constraint on execution quality. If your order size is larger than the top of book depth, you will likely consume multiple levels and experience slippage.
Practical example
• If the best ask is 52c but only 10 contracts are offered, a buy order for 50 contracts may fill partly at 52c and the rest at worse prices.
• Your final execution price becomes a VWAP across fills, often increasing your effective spread.
Common pitfalls
Assuming top of book equals your fill: Top of book is only guaranteed for small size, and only if quotes do not move.
Ignoring cancellations: Top depth can vanish before you execute.