Order book and spread: what the data shows

A price on a screen is usually a single number. Behind it sits a list of orders that people have placed on an exchange and that have not been filled yet. That list is the order book.

An order book has two sides:

• Bids: orders to buy, each with a price and a quantity. The highest bid is at the top.
• Asks: orders to sell, each with a price and a quantity. The lowest ask is at the top.

Kraken's public order book endpoint, for example, returns both sides as lists of entries, each with a price, a volume and a timestamp, up to 500 levels per side (Kraken API: Get Order Book).

The spread is the gap between the lowest ask and the highest bid. If the lowest ask is 100.10 and the highest bid is 100.00, the spread is 0.10. It is often shown as a percentage of the mid price, the point halfway between the two.

A narrow spread means the best buy and sell orders are close together at that moment. A wide spread means they are further apart.

Depth is how much quantity sits at each price level, and how far the levels reach from the top of the book. Two order books can have the same spread and very different depth: one with large quantities close to the top, one with small quantities spread thinly.

1. It is a snapshot. Orders are added, changed and cancelled continuously; a second later the book can look different.
2. It covers one exchange. Each exchange has its own book; the same asset can have a different spread elsewhere.
3. It shows intentions, not trades. An order in the book has not been executed. Completed trades are a separate data set.
4. It does not say what the price will do next.

The Market Observation pages show sourced market data. Free and Pro receive the same data with no delay; Pro adds 20 price levels of your own choosing and CSV/JSON export (pricing). Where the data comes from is listed on the data sources page.

Related: OHLC candle data: what the four prices record · Markets · Twenty price levels you choose

Educational content. Not investment advice.