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Hey, not familiar with the currency mkt myself but hope the following could help you. Below is the def. from wiki, in a nutshell, it seems a measure of the size of volume available for transactions, thus it is also a measure of how much a price has to move in order to execute the transactions. The smaller the price movement and the larger the transaction, the deeper the market.

Market depth
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In finance, market depth is the size of an order needed to move the market a given amount. If the market is deep, a large order is needed to change the price. Market depth closely relates to the notion of liquidity, the ease to find a trading partner for a given order: a deep market is also a liquid market.

Factors influencing market depth include:

    * Tick size. This refers to the minimum price increment at which trades may be made on the market. The major stock markets in the United States went through a process of decimalisation in April 2001. This switched the minimum increment from a sixteenth to a one hundredth of a dollar. This decision improved market depth.[1]
    * Price movement restrictions. Most major financial markets do not allow completely free exchange of the products they trade, but instead restrict price movement in well-intentioned ways. These include session price change limits on major commodity markets and program trading curbs on the NYSE, which disallow certain large basket trades after the Dow Jones Industrial Average has moved up or down 200 points in a session.
    * Trading restrictions. These include futures contract and options position limits as well as the widely used uptick rule for US stocks. These prevent market participants from adding to depth when they might otherwise choose to do so.
    * Allowable leverage. Major markets and governing bodies typically set minimum margin requirements for trading various products. While this may act to stabilize the marketplace, it decreases the market depth simply because participants otherwise willing to take on very high leverage cannot do so without providing more capital.
    * Market transparency. While the latest bid or ask price is usually available for most participants, additional information about the size of these offers and pending bids or offers that are not the best are sometimes hidden for reasons of technical complexity or simplicity. This decrease in available information can affect the willingness of participants to add to market depth.

In some cases, the term refers to financial data feeds available from exchanges or brokers. An example would be NASDAQ Level II quote data.

市场深度是指市场在承受大额交易时证券价格不出现大幅波动的能力。与价格弹性、价差一起作为反映证券市场流动性的指标。
具有“深度”的市场或具体证券便于大笔交易顺利执行，而不会导致证券价格的大幅波动，原因在于卖出和买人双方资金量匹配，不会再有大额卖出时，买入量不足，导致价格大幅下跌；或在大额买入时，无相应卖出导致价格抬升。通常那些流动性较强的大盘股的市场深度最好，大资金可以自由进出。但是市场深度并不是完全以流动性、交易量或流通股规模来衡量，一些中小盘股只要交易活跃、买卖双方势均力敌，也都有不错的市场混防。
市场深度是判断股票流动性强弱的指标之一。以每个价位上报单的数量来衡量，如果买卖盘在每个价位上报单越多，成交越容易，股票的流动性越高。