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  "id": "order-book-depth-spread",
  "canonical": "https://degreesofsatoshi.com/encyclopedia/order-book-depth-spread/",
  "collection": "defi",
  "title": "Order-book depth and spread: reading the liquidity behind a quote",
  "description": "Calculate the spread and average execution from discrete orders, and distinguish displayed depth from a completed trade.",
  "aliases": [
    "order book depth bid ask spread",
    "order book spread and average fill price"
  ],
  "dates": {
    "published": "2026-10-02",
    "modified": "2026-10-02",
    "verified": "2026-10-02T19:18:00.092Z",
    "dataAsOf": "2026-10-02"
  },
  "authorship": {
    "publisher": "Degrees of Satoshi editorial project",
    "process": "AI-assisted research and drafting with a separate automated source-verification pass; no external expert or named human review is implied."
  },
  "quickAnswer": {
    "text": "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.",
    "claimId": "order-book-depth-spread-quick-answer",
    "sourceIds": [
      "x425-defi-dydx-screen",
      "x425-defi-dydx-orders"
    ]
  },
  "keyFacts": [
    {
      "label": "Bid",
      "value": "A bid is a resting offer to buy.",
      "sourceIds": [
        "x425-defi-dydx-screen"
      ],
      "id": "bid",
      "claimId": "order-book-depth-spread-fact-bid"
    },
    {
      "label": "Ask",
      "value": "An ask is a resting offer to sell.",
      "sourceIds": [
        "x425-defi-dydx-screen"
      ],
      "id": "ask",
      "claimId": "order-book-depth-spread-fact-ask"
    },
    {
      "label": "Depth chart",
      "value": "The chart aggregates orders by price level.",
      "sourceIds": [
        "x425-defi-dydx-screen"
      ],
      "id": "depth-chart",
      "claimId": "order-book-depth-spread-fact-depth-chart"
    }
  ],
  "prerequisites": [
    "decentralized-exchanges"
  ],
  "sections": [
    {
      "id": "example",
      "heading": "Walk through the available asks",
      "sourceIds": [
        "x425-defi-dydx-screen",
        "x425-defi-dydx-orders"
      ],
      "paragraphs": [
        "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."
      ]
    },
    {
      "id": "orders",
      "heading": "A limit can restrict how far the order walks",
      "sourceIds": [
        "x425-defi-dydx-orders"
      ],
      "paragraphs": [
        "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."
      ]
    },
    {
      "id": "snapshot",
      "heading": "Displayed depth can change",
      "sourceIds": [
        "x425-defi-dydx-screen",
        "x425-defi-dydx-orders"
      ],
      "paragraphs": [
        "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."
      ]
    }
  ],
  "faq": [
    {
      "question": "Is a narrow spread enough to show a market is liquid?",
      "answer": "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.",
      "sourceIds": [
        "x425-defi-dydx-screen",
        "x425-defi-dydx-orders"
      ]
    }
  ],
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      "articleSlug": "order-book-depth-spread",
      "statement": "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.",
      "sourceIds": [
        "source-08e71d7fe0f46d5d",
        "source-a2545baf2d42e7b4"
      ],
      "sourceLocators": [
        {
          "sourceId": "source-08e71d7fe0f46d5d",
          "locator": "Orderbook; Position information; Stats"
        },
        {
          "sourceId": "source-a2545baf2d42e7b4",
          "locator": "Market; Limit; Stop; Take Profit; execution policies"
        }
      ],
      "scope": {
        "collection": "defi",
        "dataAsOf": "2026-10-02",
        "blockHeight": null
      },
      "qualification": "",
      "evidenceStatus": "documented",
      "verification": {
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        "checkedAt": "2026-10-02T19:18:00.092Z",
        "reviewer": "Independent automated verification — Codex root, separate from the DeFi drafting agent",
        "notes": [
          "Recomputed order-book example: 3×101 +2×102 =507, average101.4; visible depth not reserved and limit leaves unfilled quantity."
        ]
      }
    },
    {
      "id": "order-book-depth-spread-fact-bid",
      "articleSlug": "order-book-depth-spread",
      "statement": "Bid: A bid is a resting offer to buy.",
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        "source-08e71d7fe0f46d5d"
      ],
      "sourceLocators": [
        {
          "sourceId": "source-08e71d7fe0f46d5d",
          "locator": "Orderbook; Position information; Stats"
        }
      ],
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        "notes": [
          "Recomputed order-book example: 3×101 +2×102 =507, average101.4; visible depth not reserved and limit leaves unfilled quantity."
        ]
      }
    },
    {
      "id": "order-book-depth-spread-fact-ask",
      "articleSlug": "order-book-depth-spread",
      "statement": "Ask: An ask is a resting offer to sell.",
      "sourceIds": [
        "source-08e71d7fe0f46d5d"
      ],
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        {
          "sourceId": "source-08e71d7fe0f46d5d",
          "locator": "Orderbook; Position information; Stats"
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        "reviewer": "Independent automated verification — Codex root, separate from the DeFi drafting agent",
        "notes": [
          "Recomputed order-book example: 3×101 +2×102 =507, average101.4; visible depth not reserved and limit leaves unfilled quantity."
        ]
      }
    },
    {
      "id": "order-book-depth-spread-fact-depth-chart",
      "articleSlug": "order-book-depth-spread",
      "statement": "Depth chart: The chart aggregates orders by price level.",
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        "source-08e71d7fe0f46d5d"
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          "sourceId": "source-08e71d7fe0f46d5d",
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        "reviewer": "Independent automated verification — Codex root, separate from the DeFi drafting agent",
        "notes": [
          "Recomputed order-book example: 3×101 +2×102 =507, average101.4; visible depth not reserved and limit leaves unfilled quantity."
        ]
      }
    }
  ],
  "sources": [
    {
      "id": "x425-defi-dydx-screen",
      "label": "Interface of the Trade tab",
      "publisher": "dYdX Operations Services",
      "url": "https://help.dydx.trade/en/articles/166979-interface-of-the-trade-tab",
      "locator": "Orderbook; Position information; Stats",
      "note": "Definition and presentation of trading market metrics.",
      "version": "Documentation retrieved for the 2026-10-02 editorial scope; content hash recorded",
      "checkedAt": "2026-10-02T18:53:20.712Z",
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      "recordId": "source-08e71d7fe0f46d5d"
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    {
      "id": "x425-defi-dydx-orders",
      "label": "Perpetual order types on dYdX Chain",
      "publisher": "dYdX Operations Services",
      "url": "https://help.dydx.trade/en/articles/166981-perpetual-order-types-on-dydx-chain",
      "locator": "Market; Limit; Stop; Take Profit; execution policies",
      "note": "Order-type semantics and dYdX-specific constraints.",
      "version": "Documentation retrieved for the 2026-10-02 editorial scope; content hash recorded",
      "checkedAt": "2026-10-02T18:53:20.714Z",
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  "related": {
    "articles": [
      "order-time-in-force",
      "post-only-orders",
      "slippage-and-price-impact",
      "dutch-auction-swap-orders"
    ],
    "dossiers": [],
    "wallets": []
  },
  "revisionHistory": [
    {
      "date": "2026-10-02",
      "kind": "published",
      "summary": "First publication after primary-source research and separate automated verification."
    }
  ],
  "citation": "Degrees 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/"
}