An order book has two sides. Bids are the offers to buy, stacked downward from the highest price anyone will pay; asks are the offers to sell, stacked upward from the lowest price anyone will accept. The gap between the best bid and the best ask is the spread, and the amount of size resting at each level is the depth.
Reading the book tells you what a trade will actually cost. A market order walks up or down the levels until it is filled, so a large order in a thin book completes at a materially worse average price than the one displayed. Depth also shifts constantly, and orders can be withdrawn faster than they can be hit, so a wall of size is an indication rather than a guarantee.
What is order book depth?
The amount of buy and sell interest resting within a given distance of the current price — typically quoted as the value available within 1% or 2% of the mid price.
Last updated October 17, 2026