Crypto Order Book Depth and Spreads Explained

THE TAKEAWAY

The best quote describes the first available level, not the average price of an entire order.

Separate spread from depth

An order book lists resting buying and selling interest at price levels. The best bid and best ask define the quoted spread, while depth describes available quantity across levels. A narrow spread can coexist with very little size. The matching rules, order types and cancellation behaviour belong to the specific venue; a screenshot is a temporary view of interest, not a promise that those orders will remain available.

Calculate an illustrative fill

Suppose the displayed asks offer 10 units at 100 and another 20 at 101. An immediately executable purchase of 25 units would, if those orders remained available and no other constraints intervened, take 10 at 100 and 15 at 101. The total is 2,515, or an average of 100.6 before fees. The best ask was 100, but the larger order could not obtain all its units at that first level.

A limit controls price, not completion

A buy limit specifies the maximum acceptable execution price under the venue's rules. It does not guarantee that the entire quantity fills or that any fill occurs. Depending on its price and instructions, it may execute immediately, rest in the book, partially fill or be cancelled. A market order prioritises available execution but can cross multiple levels. Neither label removes fees, gaps, changing liquidity or operational restrictions.

Ask what the snapshot excludes

Check the venue, pair, timestamp, displayed depth range and quantity units. Some interfaces aggregate levels, while hidden liquidity or incoming orders may change the outcome. Compare an order's size with the relevant side of the book rather than total daily volume. Keep fee estimates separate from price impact and distinguish filled quantity from requested quantity in your records. This is a reading framework, not an instruction to place an order or a guarantee of the next available price.