Order book depth is a snapshot of resting limit orders. It looks like a promise: this much size is available at this price. It is not a promise. It is a set of orders that can be cancelled faster than you can take them.
The disappearing book
Much of the visible depth on a fast market is posted by automated participants who reprice continuously. When volatility spikes, those orders are pulled — not out of malice, but because the models that posted them widen under uncertainty like any sensible market maker.
The result is that measured depth is highest when you least need it and lowest during the move you wanted to trade. A book that shows substantial size in calm conditions can be a fraction of that during a cascade.
Depth on which venue
Aggregating depth across venues overstates it badly. You cannot fill a single order against five books simultaneously without routing infrastructure, and the same market maker frequently posts on several venues with the intention of filling on one. Summing them counts the same capital repeatedly.
Per-venue depth is the honest form, and the venue you can actually reach is the only one that counts for you.
What depth is genuinely good for
Relative comparison. This book is thinner than it was yesterday. This level has more resting size than the one above it. This venue is consistently deeper than that one. Those hold up even though the absolute numbers do not survive stress.
It is also good for finding shelves — concentrations of resting size at particular levels that are large enough not to be entirely automated. Those are the places a forced move has something to hit.
The rule
Treat depth as an upper bound that shrinks under exactly the conditions where you were counting on it.