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Market Intelligence › Basic Terminologies
How to read depth, and how to measure how liquid a stock is
Published by The Retail Trader · AUG 06, 2026 · Order Flow
Brokerage is visible, taxes are visible, but impact cost appears nowhere on the bill. It hides inside your fill price — and on a large order it can be bigger than all the other charges.
Depth shows how much quantity is sitting at each price level in the order book. If the best bid has only a hundred shares and you are selling five thousand, the rest will sell at the levels below.
This is why two stocks can show the same spread and yet have completely different real liquidity.
Looking at these is enough:
• Average daily traded value, not just volume — multiplied by price.
• The spread between best bid and ask, in percentage.
• The total quantity sitting at the top five levels.
• How many minutes in the day there was no quote at all.
Compare your position size with that stock's average daily value. If your position is a large part of that value, you are no longer retail for that stock — and you will not get an exit on the day everybody wants one.
This article is for educational purposes only — it is not a buy or sell recommendation, makes no guaranteed-return claim, and is not advisory. Rules, rates and mechanics are changed from time to time by the exchanges, SEBI and RBI, so verify every number yourself with your broker or an official source.