^^ This. Find out the frost line for your immediate area, and you'll probably want to go at least a foot below that.
When I dug my pond, I found out our frost line is 30-36", so I went to 44" (was supposed to be 48", but oh well).
If you plan on putting gar in there, you'll need to make sure you have a way of keeping a hole in the ice in winter as well. I left my pump/waterfall running all this last winter and it handled it fine, but its better to use something submerged in the pond (like a pump pointed up, an air disk, etc) or a floating heater. If my waterfall had frozen over, the pond could have partially emptied and burned out the pump.