What Is an Order Book? Bid, Ask, Spread and Depth Explained
An order book is the live list of buy and sell orders for a market. Learn to read bids, asks, the spread and depth, and how order books affect your fill price.
Updated
An order book is a live list of all open buy orders (bids) and sell orders (asks) for a trading pair, sorted by price. Exchanges match incoming orders against it to execute trades. Reading the order book tells you the real cost of trading a given size, not just the last price on the chart.
Key takeaways
- Bids are buy orders; asks (offers) are sell orders.
- The best bid is the highest buy price; the best ask is the lowest sell price.
- Spread = best ask − best bid; the mid price is halfway between them.
- Depth is how much size rests near the best prices; it decides slippage.
- Resting limit orders are makers; orders that fill against the book are takers.
Anatomy of an order book
Here is a simplified book for a token:
| Side | Price | Size (units) |
|---|---|---|
| Ask | $100.12 | 2,500 |
| Ask | $100.08 | 1,200 |
| Ask | $100.05 | 800 |
| Bid | $100.00 | 1,000 |
| Bid | $99.97 | 1,500 |
| Bid | $99.93 | 3,000 |
- Best ask: $100.05. The cheapest price to buy right now.
- Best bid: $100.00. The highest price to sell right now.
- Spread: $100.05 − $100.00 = $0.05.
- Mid price: ($100.05 + $100.00) ÷ 2 = $100.025.
- Spread %: $0.05 ÷ $100.025 ≈ 0.05%.
Worked example: walking the book
You place a market buy for 1,500 units. It fills against the asks from the lowest price upward:
| Level | Price | Filled | Cost |
|---|---|---|---|
| 1 | $100.05 | 800 | $80,040 |
| 2 | $100.08 | 700 | $70,056 |
| Total | 1,500 | $150,096 |
Average price: $150,096 ÷ 1,500 = $100.064. That is about 0.014% above the best ask and 0.039% above the mid price. On a deep book this cost is small, but on a thin book the same order could clear several levels and cost much more.
Bid, ask and trading costs
When you trade immediately, you cross the spread: buys pay the ask and sells receive the bid. Buying and instantly selling the same size would lose the spread plus two taker fees. This is why tight spreads matter so much for short-term and arbitrage trades.
| Market condition | Spread | Depth | What it means for you |
|---|---|---|---|
| Major coin on a large exchange | Very tight | Deep | Low cost, large sizes possible |
| Mid-size coin | Moderate | Medium | Check depth before sizing up |
| New or small listing | Wide | Thin | High slippage; prices can jump |
| During news or a crash | Widens quickly | Thins out | Market orders can fill far from the last price |
Order types and the book
| Order type | Interaction with the book | Maker or taker |
|---|---|---|
| Limit order away from the market | Rests on the book | Maker |
| Post-only limit | Rests, or cancels if it would fill at once | Maker |
| Market order | Fills against resting orders | Taker |
| Limit order that crosses the spread | Fills immediately, at least partly | Taker |
| Stop order | Becomes a market or limit order when triggered | Usually taker |
Order books on DEXs
Many spot DEXs do not use an order book; they use AMM liquidity pools, where a formula sets the price. Some perp DEXs, such as Hyperliquid and dYdX, do run full on-chain order books. See CEX vs DEX for how these designs compare.
Order books and arbitrage
A price gap between two exchanges is only useful up to the size available at the best prices. If the best ask on one venue has 200 units and the best bid on another has 50, only 50 units can be traded at the quoted spread. ArbTide's arbitrage scanner uses the top of the book and shows the maximum size at the quoted prices; the methodology page explains why larger orders get worse prices. To test a route with your own size and fees, use the arbitrage profit calculator.
Frequently asked questions
- What is an order book in crypto?
- An order book is a real-time list of all open buy orders (bids) and sell orders (asks) for a trading pair, sorted by price. The exchange matches incoming orders against it to execute trades.
- What is the bid-ask spread?
- The bid-ask spread is the difference between the highest bid and the lowest ask. A narrow spread signals a liquid market; a wide spread means trading immediately costs more.
- What is order book depth?
- Depth is the total size of orders resting at or near the best prices. A deep order book can absorb large trades with little price movement, while a thin one moves sharply.
- Why does my market order fill at a worse price than shown?
- The price shown is usually the best bid or ask. If your order is larger than the size available at that level, it fills at the next levels too, so your average price is worse. This is slippage.