How the book is laid out
The book has two sides. Bids are buy limit orders sitting below the market, sorted highest first. Asks are sell limit orders above the market, sorted lowest first. The top of each side forms the current quote, and the gap between them is the spread.
Each row shows a price and the size resting there. Add the sizes as you walk away from the mid and you get cumulative depth — the usual depth chart.
What depth tells you
Depth is the answer to one question: how far would price move if someone dropped a large market order right now? Thin depth means a modest order can travel several levels; deep books absorb size with barely a flicker.
If the first three ask levels hold 2 BTC in total and someone market-buys 5 BTC, price walks straight through them and fills the rest higher. That is slippage created by a thin book.
What the book does not tell you
The book only shows resting limit orders. It cannot show market orders that have not arrived yet, hidden or iceberg orders that reveal only a slice of their true size, or orders that will be cancelled the moment price approaches them.
That last point matters: large resting walls are often pulled before they fill. Treat the book as current conditions, not as a forecast.
Practical uses
- Sizing an order so it does not sweep multiple levels
- Choosing between a market order and a patient limit
- Recognising when a market is too thin to trade at your size
- Understanding why a stop filled far from its trigger