Reading the Order Book & Depth: Where Slippage Comes From

What the book is Bids on the left, asks on the right; the gap between them is the spread. Each level shows how much size rests at that price.

Why depth matters "Depth" is the cumulative size stacked across levels. Deep book = even large orders fill near spot; thin book = your market order eats through several levels, so your average fill drifts away — that is slippage.

How to use it Before a large trade, glance at depth: if your size exceeds the total at the best few levels, consider splitting the order, using limit orders, or moving to a more liquid venue/pair.

Beware illusions Resting orders can be pulled instantly (spoofing), so a big "wall" may not be real. The book is a reference, not a promise. Major exchanges and major pairs usually have the best depth.

See also How to Read Candlestick Charts: Essentials for Beginners, Market, Limit, Stop Orders: A Complete Guide to Order Types