The order book: bids, asks, spread and depth

The order book is all the limit orders resting on an exchange right now, waiting to be filled, laid out by price. It is the very queue from sections 1 and 2, seen whole.

• Bids are limit buy orders: “I'll buy at no more than”. They are drawn below the current price.
• Asks are limit sell orders: “I'll sell at no less than”. They are drawn above.

All orders at one price add up to a single level: “82,000 — 1.5 BTC” means 1.5 BTC in total is offered for sale at 82,000 — perhaps as one order, perhaps as a hundred small ones. Prices go in steps set by the exchange (the tick): for BTC it may be 0.1 dollars, for a cheap coin 0.0001.

The best bid is the highest price at which someone is willing to buy. The best ask is the lowest price at which someone is willing to sell. The best bid is always below the best ask: if they met, the orders would immediately fill against each other and disappear from the book. The difference between them is the spread. The midpoint between them is the mid price: (best bid + best ask) / 2.

Spread in percent is handier than in dollars: spread / mid. For BTC in the figure the spread is 10 dollars at a mid of 81,995 — that is 10 / 81,995 ≈ 0.012%. For a cheap coin with a bid of 0.1450 and an ask of 0.1452 the spread is 0.0002 at a mid of 0.1451 — that is 0.0002 / 0.1451 ≈ 0.14%, more than ten times as much.

How the spread is paid. A market buy fills against asks, a market sell against bids. If you buy at market and immediately sell at market, nothing has changed, yet you have lost the spread: bought 0.5 BTC at 82,000, sold at 81,990 — minus 0.5 × 10 = $5, and that is before fees (section 2). The spread is the price of immediacy that the taker pays the maker.

Why the last price “jitters”. Even when the book does not change, trades hit the ask (market buys) and then the bid (market sells). The last price jumps between 82,000 and 81,990 — on a chart it looks like movement, although neither the bid nor the ask moved. That is why EVA shows the mid price in the spread row: it changes only when the best prices themselves move.

The book in EVA. On the “Book · Flow” tab the right panel has an “Order Book” block: eleven sell levels on top, a spread row (the mid price and the spread itself), eleven buy levels below. Price on the left, size on the right in coins; the bar behind a row is the level's size relative to the largest one shown. The book is merged: up to four venues, and the same price on different exchanges adds up into one level (lesson 3). The dropdown at the top discards small levels by value: “full depth”, ≥$10k, ≥$50k, ≥$100k, ≥$250k. The 🧱 mark on a level noticeably larger than its neighbours is the topic of section 4. Indices and XAUT have no order book, and it says so there.

Book depth is how many orders rest from the best price outward. It is counted cumulatively: how many coins (or dollars) can be bought without going past a given price or past a given percentage from the mid. For example: “within 1% above the mid there are $312M of sells”.

Take the book from the lesson 1 figure. Asks: 1.5 BTC at 82,000, 2 BTC at 82,010, 4 BTC at 82,020, 6 BTC at 82,050. A market buy for 5 BTC arrives:

• 1.5 BTC at 82,000 — the level is eaten entirely;
• 2 BTC at 82,010 — eaten entirely;
• the remaining 1.5 BTC at 82,020 — 2.5 BTC of the level is left.

Paid: 1.5 × 82,000 + 2 × 82,010 + 1.5 × 82,020 = 123,000 + 164,020 + 123,030 = 410,050 dollars, average fill price 410,050 / 5 = 82,010. The last price is 82,020. The best ask is now 82,020 while the best bid is still 81,990 — the spread grew from 10 to 30 dollars.

How much must be bought for the best ask to become 82,050? Everything below must be eaten: 1.5 + 2 + 4 = 7.5 BTC. That is how depth answers the question “how much money does it take to move the price to such-and-such a level”.

What happens next. The empty space after a market order usually fills quickly: makers post new asks closer to the price, and the spread narrows again. How quickly is a property of the market at that moment. In a calm market for a liquid coin — within fractions of a second. In a sharp move recovery is slower, and sometimes orders near the price are pulled instead — then the next market order walks even further.

Thin and thick books. A thick book has a lot of money right at the price: even a large market order walks one or two levels, and the price barely moves. A thin book has little near the price: the same amount walks many levels, the average price drifts far, and the last price further still. Thickness is best measured in dollars within a fixed percentage of the mid (0.5%, 1%, 3%): that lets you compare a coin priced at 82,000 with one at 0.15.

The price shift grows faster than the order's amount: the first dollars fill right at the price, the last ones furthest away. That is why two $500k market buys in a row move the price roughly as much as one $1M buy if the book had no time to recover in between.

The same coin trades on many exchanges, and each exchange has its own book. An order placed on Binance is neither visible nor available on Bybit. Prices nevertheless stay close thanks to arbitrage: if the best ask on one exchange is below the best bid on another, someone immediately buys cheap on the first and sells dear on the second — and thereby pulls the prices together. So the best prices on different exchanges usually differ by fractions of a percent but do not coincide exactly. Tick sizes differ too: 0.1 on one exchange, 0.5 on another.

A combined book adds up the books of several exchanges: at each price, everything resting there on all venues is summed. That gives the overall picture — where the market as a whole has more orders. But such a picture has a trap. Say the combined book shows 30 BTC at 82,000: Binance 12, Bybit 8, OKX 6, Hyperliquid 4. Your market order goes to one exchange. If you trade on Bybit, only 8 BTC is available to you at 82,000, not 30; your order will collect the rest higher — at the prices of Bybit's book.

So combined depth answers “how many orders does the market as a whole have”, while your own exchange's depth answers “what will my order cost”. These are different questions with different numbers.

In EVA the combined book is built from up to four derivatives venues — Binance, Bybit, OKX, Hyperliquid; for some coins there are fewer, and the exact number is stated next to it. The “Liquidity 0–1% / 1–3% / 3–5%” panes below the chart are computed from the same combined book (what they mean — section 4).

Orders can be pulled. Everything in the book is intentions. The owner of an order at any level can remove it in a fraction of a second without spending a dollar. So the book is a snapshot of what people are willing to do now, not of what they will do. How to tell an order that stays from one that will be pulled as the price approaches is the topic of section 4.

Hidden and iceberg orders. Many exchanges let you place an order that is not fully visible in the book. An iceberg shows only its “tip”: 1 BTC is visible, while the whole order is 20 BTC. When the visible part fills, the next portion appears at the same price. Fully hidden orders exist too. The consequence: more can trade at a level than was visible on it, and the level does not shrink. The book itself does not show this; you can only notice it by comparing the book with the trades (section 5).

Depth is limited. Exchanges send not the whole book but a limited number of levels near the price. The EVA screen shows eleven levels on each side: the top of the book, not all of it. What lies further out is visible in the liquidity panes and on the heatmap (section 4), and anything deeper than what the exchanges send is not visible at all. Emptiness far from the price means “we cannot see there”, not “there is nothing there”.

The book is a snapshot in time. In EVA the ladder updates by polling once a second and by a subscription push five times a second; the older response is discarded. At the fastest moments what is on screen can lag the exchange by a fraction of a second.

The book does not show who or why. We do not know whose order it is, whether someone is hedging a position or about to open one. And the book does not show the market orders that will arrive in a second — and it is they that move the price.