Market breadth is a measure of the total number of securities that contribute to a given move in an index or on a exchange at large. It provide instrumental inputs for any study of the behavior of the universe of securities in a given market. It is calculated as the ratio of the number of stocks in an index that have advanced (i.e., have positive performance) versus the number of shares that have declined (i.e., have negative performance). Differently stated, it refers to the number of stocks that are rising on any given trading day vis-à-vis the number that are falling. In an abbreviated form, market breath is defined as advancers vs. decliners. If there are more advances than declines, market breadth for a specific day is positive. More declines than advances indicate a negative market breadth.

On the other hand, market depth is a measure of how a market “stably” reacts to, and is able to absorb, relatively large market orders without any big impact on security prices. Correspondingly, depth of the market, for short DOM, or order book, reflects the number of open buy and sell orders for a specific security at different prices. Deep markets can absorb large trades on either side, relatively comfortably and without any shocks to the market at entry or exit points.

Market breadth concentrates on the broader market action or movement rather than that of single securities. Market breadth mainly involves the study of broad market action/ movement, as opposed to market depth, which focuses on the amount of supply and demand at a given point in time or during a certain period at various price levels of individual securities. In this sense it mainly focuses on the components (universe of securities) of the market in whole.