Order book and spread: visible liquidity and execution

What the book can show

A public order book shows displayed resting bids and asks within its feed depth. It does not reveal all hidden liquidity, private intent or the complete market across venues. Orders can be changed or cancelled before execution. An order-book wall is not the same evidence as an executed trade.

Bid, ask and spread

Best bid is the highest displayed buy price and best ask the lowest displayed sell price. Their difference is the spread. With bid $67,000 and ask $67,010, spread is $10, approximately 0.0149% of the midpoint. Crossing the spread twice through buying then immediately selling costs about that spread before fees, assuming unchanged prices and sufficient depth.

Depth and weighted execution

Displayed size near the best quote determines how much can trade there, subject to changes and hidden mechanisms. Buying one unit at $100 and another at $101 gives a $100.50 average, not $100. Slippage depends on the chosen benchmark, order size, timing and market impact. A snapshot cannot guarantee the book will remain unchanged.

A limit can take liquidity

A buy limit at $102 against an ask of $100 can execute immediately at permitted prices up to $102. It can be taker despite being a limit order. A remainder may rest. Post-only is a separate instruction intended to prevent immediate taker execution. Venue rules determine rejection, cancellation or adjustment and the resulting fee treatment.

Market requests and protections

A market order seeks immediate available execution, not necessarily the last trade price or a guaranteed full fill. Price bands, size limits and venue protections can reject, limit or cancel execution. In a fast or thin market, depth can disappear. A stop trigger submits an instruction and does not itself supply liquidity.

Compare like with like

Specify venue, spot or derivative contract, quantity units, observation time and quote currency. Separate displayed depth, executed volume and open interest. Use the converter for its documented spot-execution scenario and the cost calculator for fees and modeled slippage. No observation here establishes a profitable trade or a guaranteed price.