Reading the order book
Every order waiting to buy or sell, by price. It shows where you would fill and what it would cost.
Key ideas
- 1The book lists bids (buyers, below the price) and asks (sellers, above it). Each row is a price and how much waits there.
- 2The spread is the gap between the highest bid and the lowest ask. A market buy pays the ask; a market sell gets the bid.
- 3A large market order eats through several rows. The difference from the price you saw is called slippage.
- 4Your bot caps slippage (2% unless your community’s owner set another limit), so a market order never fills further away than that.
Reading it
The book lists every order waiting to trade. Asks (sellers, in red) sit above the price, the lowest first. Bids (buyers, in green) sit below, the highest first. The gap between the highest bid and the lowest ask is the spread.
- Highest bid
- 99,998
- Lowest ask
- 100,003
- Spread
- $5.00 (0.0050%)
A market buy starts at the ask and a market sell at the bid: buying and selling straight back costs the spread.
Walking the book
A market buy takes the lowest ask first. If it is bigger than what waits there, it keeps going to the next row, and the next, each at a higher price. The difference between the first price and the average you paid is slippage.
A made-up book around today’s price. Pick an amount to see how many rows a market buy uses, or switch to a limit buy to see it wait.
- Average price
- 100,011
- Rows used
- 4
- Slippage
- 0.009%
- From the lowest ask
- Fees
- $95.00
- 0.045% taker + 0.05% bot fee
The order used up 4 rows, so it paid up to 100,018. Splitting it, or using a limit order, would avoid walking the book.
Makers and takers
In Lance Trade
The book sits next to the chart, with the recent trades. Click a row to use its price in a limit order. The bar behind each row shows how much waits there compared with the biggest row.
Common mistakes
- Judging a market by its price alone. A thin book means big orders move the price against you.
- Reading big rows as promises. Orders on the book can be cancelled at any moment.
- Ignoring the spread. On a wide spread, a round trip starts at a loss before fees.
Check yourself
The highest bid is $99,990 and the lowest ask is $100,010. What is the spread?
Try it in Lance
The order book next to the chart updates as orders arrive. Click a row to use its price in a limit order.
Watch a live book