Encyclopedia DeFi · Entry 331
Order-book depth and spread: reading the liquidity behind a quote
In this article
At a glance
Key facts
Walk through the available asks
Imagine the best bid is 99 B and the best ask is 101 B per A. The spread is 2 B. If asks offer 3 A at 101 and 4 A at 102, buying 5 A would cost 3 × 101 + 2 × 102 = 507 B before fees, an average of 101.4 B per A.
The 101 quote describes only the first available level, not all five units.
A limit can restrict how far the order walks
A buy limit of 101 would not accept the 102 level. It could fill three units while leaving or cancelling the remainder according to its time-in-force rule. A market order prioritizes immediate matching but still depends on liquidity and venue-specific execution protections.
Displayed depth can change
Orders can be filled or cancelled before another request reaches matching. A depth screenshot is a snapshot of quoted interest, not reserved inventory. Compare executed fills with the book’s timestamp, fees and order policy before concluding that a top-of-book quote was promised.
Direct answers
Questions people ask
Is a narrow spread enough to show a market is liquid?
No. A tiny size can sit at the best prices while little depth exists behind it. Examine size across levels for the trade being considered.
Inspect the evidence
The answer and key facts have stable claim links. These records retain the scope and qualification when reused.
An order book lists bids to buy and asks to sell at specified prices and sizes. The spread is the gap between the best bid and best ask. Depth measures the quantity available across price levels; a trade larger than the best level can execute at several prices and have a worse average than the top quote.
Scope: DeFi · data through 2026-10-02. Verification: verified · 2026-10-02T19:18:00.092Z.
Link to this claimBid: A bid is a resting offer to buy.
Scope: DeFi · data through 2026-10-02. Verification: verified · 2026-10-02T19:18:00.092Z.
Link to this claimAsk: An ask is a resting offer to sell.
Scope: DeFi · data through 2026-10-02. Verification: verified · 2026-10-02T19:18:00.092Z.
Link to this claimDepth chart: The chart aggregates orders by price level.
Scope: DeFi · data through 2026-10-02. Verification: verified · 2026-10-02T19:18:00.092Z.
Link to this claimRevision history
- — First publication after primary-source research and separate automated verification.
Source register
Sources and references
Retrieval dates and locators are recorded individually.- Interface of the Trade tabdYdX Operations Services
Definition and presentation of trading market metrics.
Locator: Orderbook; Position information; Stats · Version / scope: Documentation retrieved for the 2026-10-02 editorial scope; content hash recorded · Retrieved: 2026-10-02T18:53:20.712ZOpen source - Perpetual order types on dYdX ChaindYdX Operations Services
Order-type semantics and dYdX-specific constraints.
Locator: Market; Limit; Stop; Take Profit; execution policies · Version / scope: Documentation retrieved for the 2026-10-02 editorial scope; content hash recorded · Retrieved: 2026-10-02T18:53:20.714ZOpen source
Research and drafting use AI assistance. A separate automated review checks claims against primary sources; no external expert or named human review is implied. Publication, substantive editing, source retrieval and verification are recorded separately. This version was independently checked by an automated reviewer on 2 October 2026.
Editorial method and correctionsDegrees of Satoshi editorial project. “Order-book depth and spread: reading the liquidity behind a quote.” Published 2026-10-02; updated 2026-10-02. https://degreesofsatoshi.com/encyclopedia/order-book-depth-spread/