Depth At Touch And The Shape Of The Book

"Depth at touch" is the size sitting at the single best bid and best ask — the two numbers everyone quotes. But a trade of any real size never fills at the touch alone; it walks the book, eating through price levels one after another. The depth profile is the full picture: size available at every price level, not just the first one.

Building a profile and walking an order through it

Suppose the offer side of a book looks like this:

Price	Size at level	Cumulative size
50.02	300	300
50.03	500	800
50.04	200	1,000
50.05	900	1,900

A trader needs to buy 1,200 shares immediately (a market order). It sweeps: 300 @ 50.02, 500 @ 50.03, 200 @ 50.04, and then the remaining $1{,}200 - 1{,}000 = 200$ shares come from the 900 sitting at 50.05. The order clears at 50.05, not at the 50.02 touch — the average fill price is

$\bar{p} = \frac{300(50.02) + 500(50.03) + 200(50.04) + 200(50.05)}{1{,}200} = 50.0308$

versus a touch price of 50.02 — 1.1 cents of slippage purely from walking the book, before any information effect at all. Notice the jump from 50.04 to 50.05: only 200 shares deep at 50.04 means any order over 1,000 shares necessarily prints above 50.04, a cliff a depth-only-at-touch view would never reveal.

Where it's used. Pre-trade cost estimates for execution algorithms are built directly from the depth profile: given an order size, walk the book to get an expected average fill price before sending a single share. Depth profiles also feed Order Book Features For Machine Learning — the shape of the near-touch levels (steep versus flat) is one of the more predictive short-horizon signals in limit order book data. And market makers watch the profile, not just the touch, to judge how much size they can absorb before needing to move their own quotes.