Market depth

Also called depth · book depth · liquidity

How many contracts rest at each price level — the answer to how much size a market can absorb before the edge disappears.

Volume tells you a market has been traded. Depth tells you whether you can trade it. They are routinely confused, and the confusion is expensive.

A three-cent edge on screen can be worth nothing at all. If forty contracts rest at the good price and the next level is four cents worse, then any position larger than forty contracts fills at an average price that has already eaten the edge. This is why the overround scanner reports the thinnest leg's liquidity on every row: a full-set lock is only as deep as its shallowest leg, and one leg with no size behind it caps the entire structure regardless of how deep the other four are.

The internal book layer exists for this question specifically. It normalizes both venues into a best-first ladder of executable asks and walks it, so the honest answer to how large a lock can get is computed from resting size rather than asserted. When you evaluate any tool that shows arbitrage — this one included — ask what size the displayed edge survives to. A number with no depth attached is a number about one contract.

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Definitions describe how Polymarket and Kalshi behave and how WhaleTracks models them; venue rules and fee schedules can change, so confirm anything you size a position on with the venue itself. WhaleTracks is informational analytics, not financial advice. Past performance does not guarantee future results.