Bid, Ask, Spread, Depth, and the Price You Can Actually Trade

The price you can actually trade is the best available opposing order for the size you want—not necessarily the last trade, midpoint, or large percentage printed at the top of a page. For a buyer, start with the ask side of the book. For a seller, start with the bid side. Then walk through enough levels to cover the full order.

Fact: central limit order books organize standing bids and asks by price and quantity; the best opposing quote is only executable for the quantity available at that level.

Four numbers that are often collapsed into “the price”

In a synthetic illustration, if the book is 61 bid for 40 contracts and 66 ask for 25, a screen may show a 63.5 midpoint. A buyer cannot buy at 63.5 unless a new seller appears. The currently executable starting price is 66, and only 25 contracts are shown there. These figures are invented for the example and describe no real market.

The displayed price is a formatting choice

The single percentage a venue prints is a number the venue chose to show, not a law of the market. At least one major venue documents its rule outright: the displayed price is the midpoint of the bid-ask spread, and once that spread is wider than ten cents the venue shows the last traded price instead. The same documentation says plainly that you will not necessarily trade at the displayed price — buying, you pay the ask; selling, you receive the bid.

That rule matters most exactly when the market is least certain. A wide spread is the case where the midpoint is least informative, and it is also the case where the displayed number quietly stops being a midpoint at all. Two venues can display the same percentage for the same question while computing it two different ways, so a cross-venue comparison of displayed numbers is not a comparison of like with like until you have read both venues' definitions.

Fact: published venue documentation states that the displayed price is the midpoint of the bid-ask spread, that the last traded price is shown instead when the spread exceeds a stated width, and that a buyer pays the ask while a seller receives the bid.

UnknownUnknown: no retrieved source establishes a common cross-venue definition of the displayed price, so which quantity any given venue is showing at any given moment cannot be assumed.

Spread is the first visible trading cost

The spread is the gap between the best bid and ask. Crossing it means accepting the other side's quote instead of waiting. With 61 bid and 66 ask, an immediate round trip would begin five points behind before fees and any further movement.

InferenceInference: a wide spread is evidence that the displayed midpoint carries less executable precision than its formatting suggests.

Depth determines what happens after the first unit

Depth is the quantity available at successive prices. The top quote answers what one small order might receive. A larger order consumes that level and reaches worse prices. The difference between the top quote and the order's volume-weighted average fill is slippage.

Continuing the same synthetic book, a one-contract buyer can pay 64. A 100-contract immediate buyer takes 20 at 64, 35 at 65, and 45 at 67. The average price is 65.9, not 64. The headline ask was real for the first 20 contracts and no further.

This is not a niche concern at the edges of the book. Venue documentation notes that an order book may impose no size limit at all while warning that large orders can move the price significantly, and advises checking depth before trading in size. Size is part of the price, and a quote quoted without a quantity is incomplete.

Fact: published venue documentation states that large orders may move the price significantly and directs users to check order-book depth before trading in size.

Common executable size needs a definition

“Available at meaningful size” is not a universal threshold. A useful monitor should choose and disclose one or more reference sizes—such as 10, 100, and 1,000 units—and compute the average executable price for each. It should not call any size “typical” without evidence about its users or venue.

• Store every price level used in the calculation, not just the result.
• Record the capture timestamp and source timestamp separately when both exist.
• Mark the quote stale after a documented threshold instead of silently carrying it forward.
• Keep fees and currency conversion outside the raw order-book price, then show them separately.
• Treat missing depth as unavailable information, not zero liquidity.

Why a displayed percentage may not be available

A page may display the last trade because it is familiar, the midpoint because it is smooth, or a platform-specific estimate. Meanwhile, the book can change between your request and your action. Orders can be cancelled, feeds can lag, and your own order can consume the visible quantity. A screenshot is evidence of what was displayed, not a guarantee of execution.

UnknownUnknown: a public order-book snapshot cannot establish the exact fill a later order would have received.

A clean reporting pattern

Report: “At 14:00:00 UTC, YES was 61 bid for 40 and 66 ask for 25. The midpoint was 63.5. Buying 100 against the displayed synthetic book would average 65.9 before fees.” This keeps observations, calculations, and hypothetical execution separate.

Two questions sit outside this guide. What a price is claiming to be, and how far to trust it as a probability, belongs to the guide on what a prediction market is. What the contract has to do for that price to pay out, and who decides, belongs to the guide on how contracts resolve. Reading the book well tells you what you can get; it does not tell you what you are buying.