[krit_dms]

Almost.

When you buy an ETF, you don't buy a newly issued cupon. You buy it from another market participant on an exchange - hence Exchange traded fund. What you're describing is closer to classic mutual fund. Each ETF will have "Authorized Participants" who make sure that the ETF mirrors the underlying assets.

[candiodari]

I'm leaving that part out, because it obfuscates things. In one interpretation "Authorized Participants" on the exchanges keep the number of available "coupons"/shares at a fixed number.

So the market depth for any ETF should be constant, regardless of the value of the underlying assets (assuming non-extreme values and outside of crashes or rapid movements).

And yes, to be more exact, the market depth for an ETF should be a function of the amount of trading occuring in that ETF, not so much a constant. In any reasonable timeframe it should be constant.