Bid, Ask & the Order Book

The order book is where your fills actually come from. Candles are a summary. The book is the live negotiation between buyers and sellers.

If you only look at the last price, you miss spread cost, thin liquidity, and why market orders sometimes slip more than you expected.

The bid is the highest price buyers are currently willing to pay. The ask (offer) is the lowest price sellers are currently willing to accept.

A trade happens when someone crosses the spread: a buyer lifts the ask, or a seller hits the bid.

• Bid = demand side
• Ask = supply side
• Last price is the most recent agreed trade

Spread = ask − bid. It is a transaction cost you pay when you demand immediacy with market orders.

Tight spreads on major pairs mean cheap round trips. Wide spreads on illiquid coins mean you start in a hole before the thesis can work.

• Tighter spread → lower friction
• Wider spread → higher cost to enter/exit
• Spreads often widen during volatility and thin hours

Depth is how much size rests at each price level. Thick books absorb orders with less price impact. Thin books move easily.

A wall of bids or offers can look impressive and still vanish. Resting liquidity can be canceled. Treat depth as a snapshot, not a promise.

• More depth near mid = easier to trade size
• Gaps in the book = jumps when orders hit
• Displayed size can disappear before you get there

A small market order may fill at the top of book. A large one walks the book: it consumes multiple levels and prints a worse average price. That difference is slippage from impact.

This is why size relative to liquidity matters more than size relative to your ego. On thin alts, "small" accounts can still move the tape.

• Impact rises with order size vs available depth
• Use limits when you can wait for price
• Split size if you must trade larger than top-of-book

Before clicking buy/sell, glance at spread and nearby depth. Ask: if I need out in a hurry, who is there to take the other side?

During news, books thin and spreads widen. The same strategy that worked in calm conditions can get expensive in a minute.

• Check spread before market orders
• Prefer liquid majors while learning
• Expect worse fills when volatility spikes