How to read an order book: bids, asks, spread and depth
An order book lists resting buy orders, called bids, and resting sell orders, called asks, at each price. The best bid is the highest price a buyer is offering. The best ask is the lowest price a seller will accept. The gap between them is the spread, and the quantity at each level is the depth.
Examples use illustrative prices and quantities.
What is in an order book
An order book is the live list of limit orders waiting to trade in one market, such as BTC/USDT. Each row shows a price and the total quantity resting there.
- Bids are buy orders. They sit below the current price, highest first.
- Asks are sell orders, also called offers. They sit above the current price, lowest first.
- The best bid and best ask are the two prices closest together. Together they are often called the top of the book.
Orders on the book are makers. An order that fills against them is a taker. Maker vs taker fees explains why that matters for cost.
An illustrative order book
Here is a small BTC/USDT book. Asks are listed with the best (lowest) ask at the bottom, next to the bids, which is how many venues display them.
| Side | Price | Size (BTC) | Cumulative (BTC) |
|---|---|---|---|
| Ask | $60,030.00 | 0.80 | 1.80 |
| Ask | $60,020.00 | 0.50 | 1.00 |
| Ask | $60,010.00 | 0.30 | 0.50 |
| Ask | $60,000.00 | 0.20 | 0.20 |
| Bid | $59,990.00 | 0.25 | 0.25 |
| Bid | $59,980.00 | 0.40 | 0.65 |
| Bid | $59,970.00 | 0.60 | 1.25 |
| Bid | $59,960.00 | 1.00 | 2.25 |
The cumulative column adds sizes from the top of the book outward. It answers a simple question: how much can trade before reaching this price?
The spread
Spread = best ask − best bid
$60,000.00 − $59,990.00 = $10.00
A dollar spread is hard to compare across markets. So traders often express it as a percentage of the mid price.
The mid price
Mid price = (best ask + best bid) ÷ 2
($60,000.00 + $59,990.00) ÷ 2 = $119,990.00 ÷ 2 = $59,995.00
The mid price is a reference, not a tradeable price. A market buy fills at the ask, $5.00 above mid. A market sell fills at the bid, $5.00 below mid.
The spread as a percentage
Spread % = spread ÷ mid price × 100
$10.00 ÷ $59,995.00 × 100 = 0.0167% (rounded from 0.016668%)
A tighter spread means a smaller cost to cross from one side to the other. Spreads tend to widen in thin or fast markets.
Depth
Depth is the quantity available at each price, and in total across a range.
In the book above:
- Total ask depth shown: 0.20 + 0.30 + 0.50 + 0.80 = 1.80 BTC
- Total bid depth shown: 0.25 + 0.40 + 0.60 + 1.00 = 2.25 BTC
Depth is often measured within a set distance of mid. Take a band of 0.05% either side:
- 0.05% of $59,995.00 = $29.9975, so the band runs from about $59,965.00 to about $60,025.00
- Asks inside the band: $60,000.00, $60,010.00 and $60,020.00 → 0.20 + 0.30 + 0.50 = 1.00 BTC
- Bids inside the band: $59,990.00, $59,980.00 and $59,970.00 → 0.25 + 0.40 + 0.60 = 1.25 BTC
Here the bid side holds more quantity near mid than the ask side. That describes the book right now. It does not say where price goes next, and resting orders can be cancelled at any moment.
What depth means for a large order
A market order fills against the book level by level, best price first. When it uses up one level, it moves to the next.
Small order: market buy 0.1 BTC
The best ask holds 0.20 BTC, so the whole order fills at $60,000.00.
Large order: market buy 1.0 BTC
| Level | Fill (BTC) | Cost |
|---|---|---|
| $60,000.00 | 0.20 | 0.20 × $60,000.00 = $12,000.00 |
| $60,010.00 | 0.30 | 0.30 × $60,010.00 = $18,003.00 |
| $60,020.00 | 0.50 | 0.50 × $60,020.00 = $30,010.00 |
| Total | 1.00 | $60,013.00 |
Average fill: $60,013.00 ÷ 1.00 = $60,013.00, which is $13.00 above the best ask.
The order also used up three ask levels. Afterwards the best ask is $60,030.00 and the spread is $60,030.00 − $59,990.00 = $40.00, until new orders arrive.
That difference between the expected price and the average fill is slippage. Slippage explained works through the full calculation and the ways traders limit it.
How to read the book in practice
- Find the top of the book. Note the best bid and best ask.
- Check the spread. Compute it in dollars and as a percentage of mid.
- Read the cumulative depth. Compare the order size with the quantity near the top.
- Look at both sides. A sell order uses bid depth; a buy order uses ask depth.
- Remember the book changes. Orders are added and cancelled constantly, so depth is a snapshot.
Common mistakes
- Reading last price as the fill price. A market buy fills at the ask, and deeper if the order is large.
- Ignoring size. A tight spread says little about how a large order will fill.
- Treating displayed depth as fixed. Visible orders can be cancelled before an order reaches them, and some venues allow hidden orders.
- Confusing contract units. On some derivatives, size is shown in contracts, not coins. Check your venue’s contract specification.
Related
To see how the book shapes order choice, read market, limit, stop and stop-limit orders explained. For the prices shown on a perp screen beyond the book, see mark price vs last price vs index price.
Frequently asked questions
What is the bid-ask spread?
The spread is the difference between the best ask and the best bid. With a best ask of $60,000.00 and a best bid of $59,990.00, the spread is $10.00. Dividing by the mid price expresses it as a percentage.
What does order book depth mean?
Depth is how much quantity rests at each price level, and in total within a price range. A deep book can absorb a large order with little price movement. A thin book moves further for the same order size.
Is the mid price a price I can trade at?
Not directly. The mid price is the average of the best bid and best ask. A market buy fills at the ask and a market sell at the bid, so each side pays roughly half the spread relative to mid.
Do order books show every order?
Order books show resting limit orders that are visible. Some venues support hidden or iceberg orders that show only part of their size, and market orders never rest. Book features vary by venue.
Hippo provides information, not investment advice.
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