Reading the Order Book

The order book is the real-time record of all resting buy and sell orders.

The order book has two sides:

• Asks (sell side, top): Prices at which sellers are willing to sell. Sorted ascending — the lowest ask price is at the top of the ask side, closest to the spread.
• Bids (buy side, bottom): Prices at which buyers are willing to buy. Sorted descending — the highest bid price is at the bottom of the bid side, closest to the spread.

At each price level, the book shows the aggregate quantity of all resting orders at that price. Individual order identity is not exposed in the public feed.

The spread is the gap between the best ask (lowest sell price) and the best bid (highest buy price). It is displayed in both absolute terms (e.g. $1.60) and in basis points (bps), where 1 bps = 0.01%.

The spread represents the minimum round-trip cost of entering and immediately exiting a position. Tighter spreads mean better market conditions. Active market makers compete to quote tight spreads in exchange for fill flow.

Each price level in the order book displays a horizontal depth bar. The bar width is proportional to the quantity at that level relative to the largest level visible. This gives a quick visual sense of where order flow is concentrated and where the book is thin.

The depth chart (accessible via the chart panel) shows cumulative liquidity on each side as a step function. The X axis is price, the Y axis is cumulative quantity. The bid curve starts at the best bid and expands left; the ask curve starts at the best ask and expands right. The gap between the two curves at the center is the spread.

Steep slopes on the depth chart indicate thin liquidity — a large order at that price range would produce significant slippage. Flat sections indicate thick liquidity where large orders can be absorbed with minimal price impact.

The best bid is the highest price a buyer is currently willing to pay. The best ask is the lowest price a seller is currently willing to accept. These are displayed prominently in the order book UI and are used as the reference price for market orders. The mid price — (best_bid + best_ask) / 2 — is the fair value estimate commonly used for mark-to-market calculations.