Understand Size and Orders in Depth of Market - DOM

In a Depth of Market (DOM) display, Size represents the total volume of shares or contracts waiting to be filled at a specific price level, while Orders indicates the number of individual, separate orders making up that total volume. Size measures liquidity, while Order count indicates the crowd participation. 

Investopedia 

• Size (Volume): Shows the quantity (e.g., 5,000 shares, 100 contracts) available at a price. A large size suggests a strong support or resistance level.

• Orders (Count): Shows the number of participants (e.g., 50 different traders) who placed orders at that price. A high number of orders with low individual size suggests retail participation, while a few orders with large sizes indicates institutional activity. 

Ref Topstep 

Key Differences:

• Liquidity vs. Participation: Size tells you how much can be traded; Orders tell you how many people are involved.

• Iceberg Orders: A large size might appear, but it could be a single large institutional investor, or hundreds of small ones.

• Market Dynamics: A high "Size" value with a low "Order" count might indicate a large "hidden" or "iceberg" order waiting to be filled, which is important for identifying potential price turning points. 

Ref Bookmap 

Understanding the ratio of Size to Orders helps traders gauge if a price level is supported by few, large, active participants or many, small, inactive ones. 

Why This Matters for Traders

Traders use both columns to gauge the "quality" of a price level: 

• High Size / Low Order Count: Suggests a large institutional player or a "whale" is sitting at that price level.

• High Size / High Order Count: Suggests broad market interest and a more stable, liquid level supported by many different participants.

• Data Availability: Note that the "Orders" column is often only available on data connections that support Market By Order (MBO) data. 

Ref MotiveWave