How it works
An order book is the list of all live orders for a coin, sorted by price. Sell orders (asks) sit above, buy orders (bids) below, with the current price between them. Each price carries a size: how many coins someone will buy or sell at exactly that level.
When you press "buy at market", the exchange takes the cheapest sell order. If your size does not fit into it, it moves to the next one, a little more expensive, and then the next. Your average fill ends up above the price you saw on screen. That is slippage — covered in its own article.
Bid, ask and what they mean in practice
- Bid — the best price someone will buy from you right now. You sell into it.
- Ask — the best price someone will sell to you. You buy at it.
- Spread — the gap between them, your instant loss on a round trip.
Our tables always show the side you actually need: the ask when a route has you buying on the exchange, the bid when you are selling. Comparing two mid prices would be tidier and wrong.
Order types
A market order fills immediately at the best available prices. It guarantees execution but not price.
A limit order fills only at your price or better. It guarantees price but not execution: if the market moves away, the order simply sits there. In arbitrage that is more dangerous than it sounds — one leg fills, the other does not, and you are left holding an unhedged position.
A practical rule: in a two-leg route, place the riskier leg first — the one on the thinner venue. The leg on the liquid market will almost certainly fill.
Judging depth
Daily volume and book depth are different things. A coin can turn over a million dollars a day while holding only a couple of thousand in the book at any moment: the volume is made by bots that post and pull orders continuously.
That is why the cross-exchange page has a depth check button: it pulls the real books from both exchanges, walks them for your size, and shows what you would actually get. It regularly turns out that a route headlined at +19% delivers a loss.
A short checklist
- Look at the size next to a price, not at the price.
- Work out the average fill for your amount, not the best one.
- Daily volume is not depth — check the book.
- In a two-leg route, execute the thin-market leg first.