We study a model of strategic trading where an uncertainty over the overall participation of strategic and noise traders leads to an uncertainty over market depth. When liquidity is driven by informed trading, expected trading volume is higher and expected price informativeness is lower with such uncertainty over market depth, whereas, when liquidity is driven by noise trading, the signs of these changes are flipped. A market with larger average number of strategic traders may have lower expected price informativeness. This is consistent with existing evidence on the effect of dark pool trading on price informativeness in lit venues。