In this paper we study futures market depth by examining the price path due to order imbalances thereby allowing us to directly gain insight in the execution costs due to a lack of market depth We propose a two dimensional market depth measure in which the price path due to order imbalances is described by an S-shape function. The proposed market depth measure is applied to transaction specific futures data from Euronext. Subsequently, we examine CBOT traders' perceptions about the price path due to order imbalances and examine the characteristics that are associated with a particular perception. The proposed market depth measure gives guidelines for improving market depth, and can be used to compare competitive futures contracts. It appears that the actual price path due to order imbalances does not match the perceived price path. Traders have various perceptions about the price path due to order imbalances. Dominant perceptions were, S-shape, linear, exponential or zigzag price paths. The differences in traders' perceptions can be traced back to different traders' characteristics among others type of primary futures contract traded, importance of information sources and trading strategy (herd vs. non-herd behavior). The observed disconnect between perceptions and revealed price path due to order imbalances have great implications for market participants who try to minimize execution costs and for the futures exchange management that tries to increase the market depth.