EXPLAINER
How to read a crypto order book, and why the quoted price often is not real
The number on the ticker is the last trade, not what you can get. Depth is what determines your actual fill.
Quick answer
The ticker price is the last executed trade. What you can actually get depends on order-book depth: on a thin book a modest order walks through several price levels and fills materially worse than quoted.
Every price you see quoted anywhere, including on our own market table, is the last trade that happened. It tells you nothing directly about what you could buy or sell at right now.
What a book contains
Bids on one side, asks on the other, each with a size. The gap between the best bid and best ask is the spread, and it is the immediate cost of a round trip. On a liquid pair it is negligible; on a thin one it can exceed any fee you are worrying about.
Depth is the number that matters
A market order does not execute at one price. It consumes the best offer, then the next, then the next, until it is filled. On a deep book that barely moves your average price. On a thin one it walks up several levels and you pay meaningfully more than the quote.
This is slippage, and it scales with your order size relative to available depth. It is also why a coin can show an impressive price with almost no ability to sell at it.
Why volume is a poor substitute
Reported volume is trivially inflated and frequently is. Depth is harder to fake because it requires standing orders someone can actually hit. If you only look at one number, look at the size available within a per cent of the mid price.
Practical implications
Use limit orders where you care about the price rather than the certainty of filling. Split large orders. And be sceptical of any valuation derived by multiplying a thin-market price by a large supply — see how to evaluate a new coin launch.
Related reading
- What actually moves crypto markets: a ranked list — Macro liquidity, leverage, scheduled supply events and genuine protocol news — roughly in that order of impact, and
- Why crypto prices fall overnight, and how to tell a reason from a coincidence — Most overnight moves have a liquidity explanation rather than a news one. How to work out what actually
- What market cap does not tell you about a cryptocurrency — Market cap is price multiplied by supply. Neither half is as solid as it looks, and the product
Key takeaways
- Last price is history; depth is what you can transact at.
- Slippage grows with order size relative to book depth.
- Reported volume is easy to inflate; depth is harder to fake.
Risk notice
Cryptocurrency prices are volatile and you can lose the full value of a position. Nothing here is a price prediction or a recommendation to buy or sell. Do your own research.
Frequently asked questions
Why did my order fill worse than the price shown?
Your order consumed more than the top level of the book. The quoted price was available only for the size sitting at that level.
Do limit orders avoid slippage?
They cap your price, at the cost of possibly not filling at all. That is the trade.
