Depth of Market

The Order Book on a prediction market exchange stacks price levels from the best Bid-Ask Spread outward in both directions. Depth of market shows how many contracts are available not just at the top of the book but at every price level down to the worst resting quote. If 500 contracts sit at $0.64, another 300 at $0.63, and 200 at $0.62, a buyer of 800 contracts will fill the first level completely and then consume part of the second, resulting in an average fill price worse than $0.64. This walk through price levels is the mechanism behind Slippage. Platforms like Kalshi expose full depth data through their Trading API, enabling traders and market makers to make informed decisions about order sizing.

Depth of market is one of the strongest signals of overall Liquidity in a prediction market. A contract with thin depth may show an attractive Midpoint Price yet become expensive to trade because even a small order moves the Market Price several cents. Trading Volume alone does not capture this risk: a market may have had heavy activity yesterday but hold very few resting orders today. Sophisticated traders compare depth across platforms when Line Shopping to find where a large position can be built most cheaply. Automated Market Maker systems on decentralized platforms like early Polymarket provided guaranteed depth at any size but at the cost of predictable Slippage curves rather than discrete price levels.