#交易流动性 Order Book Analysis: By observing the order book, we can see the cumulative quantities of the top five buy and sell orders, thereby assessing market depth. For example, if the cumulative quantity of the top five buy orders is 10,000 lots and the cumulative quantity of sell orders is 8,000 lots, it indicates good market depth.

Price Impact Assessment: After institutional investors execute large orders, the magnitude of price changes can be used to measure market depth. For instance, if a buy order of 1,000 lots is executed and the price rises by 0.5%, then the price impact is 0.5%.