From Traderpedia

A measure of the size of volume available for transaction purposes for a particular instrument at a particular point in time. Bids and offers around the current price are displayed in a table with the size available to buy or sell at each price level.

Thus it is also a measure of how much a price has to move in order to execute larger than normal transactions. The smaller the price movement and the larger the transaction, the deeper the market.

Depth of market is presented in the order book.

[edit] Diagram

The screenshot shows the order book displaying depth of market (DOM) for the mini-Dow future before the open.

The current bid and offer are shown at the top (four bid and eleven offered), and then the depth of bids below the market on the left hand side and the depth of offers above the market on the right hand side.

If a large operator were at this point to sell 182 contracts (look in the cumulative size column) then the bid price would fall to 10374 as all the bid volume above that would have soaked up the large sale.

[edit] Trading strategy