CEX Spot Order Books
Learn centralised exchange spot order books, bids, asks, depth, spread, marketable orders and execution risk.
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A CEX spot order book is the venue-maintained list of resting buy and sell orders organised by price and quantity. It shows where participants are currently willing to trade, but displayed liquidity is not a promise that the same size will still be there when your order arrives.
Core concept
Bids are resting buy orders. The highest bid is the best price currently displayed for an immediate seller. Asks are resting sell orders. The lowest ask is the best displayed price for an immediate buyer.
The difference between best ask and best bid is the bid-ask spread. Orders behind the best price create depth. A large aggressive order can consume several price levels, so its average fill can be materially worse than the first quote.
Most spot trading on a CEX updates the exchange's internal ledger. It does not require a blockchain transaction for every matched order.
How to read an order book
- Check best bid and ask, then the quantity available at each best quote.
- Look at cumulative depth within standard bands such as 10bp, 50bp and 1% from the midpoint.
- Convert base-asset quantities into quote-currency notional when comparing markets.
- Watch whether depth replenishes after trades. Resilience is a dynamic property that a static snapshot misses.
- Compare displayed depth with recent executed volume to identify unusually large or possibly transient orders.
Order type versus book behaviour
| Instruction | What it does | Main trade-off |
|---|---|---|
| Market order | Consumes available opposite-side liquidity | Execution priority, uncertain average price |
| Marketable limit | Consumes liquidity up to a price cap | Price protection, possible partial fill |
| Resting limit | Adds liquidity if not immediately executable | Price control, non-fill/adverse-selection risk |
| Post-only | Attempts to ensure maker status | Can reject/cancel if it would cross |
What is visible in the public book at this moment.
What actually remains available as your order is processed, including hidden and cancelled orders.
Worked example
Best ask is £100.00 for 2 tokens, then £100.10 for 3, then £100.25 for 10. You send a market buy for 6 tokens.
The order could fill 2 at £100.00, 3 at £100.10 and 1 at £100.25. Total cost is £600.55, giving a volume-weighted average price of about £100.0917. The displayed best ask was £100, but it only covered one-third of your order.
If the £100.10 order were cancelled just before matching, the average price would be worse still. This is why top-of-book price alone is not an execution estimate for larger trades.
Common mistakes and misunderstandings
- Assuming all visible size will remain available.
- Looking only at best bid/ask for a large order.
- Confusing base-asset quantity with quote-currency notional.
- Assuming every limit order adds liquidity.
- Ignoring hidden/iceberg orders and exchange-specific matching rules.
Knowledge checkpoint
- Why can a tight top-of-book spread coexist with poor liquidity for a £500,000 order?
- Under price-time priority, what determines which of two same-price orders fills first?
- Why is cumulative depth more informative than the best-ask quantity?
- How would you calculate the average fill from several partial executions?
FAQ
❓ Is an order book the same as recent trades?
No. Resting intentions and executed transactions are different datasets.
❓ Can visible orders disappear?
Yes. Unfilled orders are generally cancellable.
❓ What is mid-price?
The midpoint between best bid and ask; it is a reference rather than guaranteed execution.
❓ Does more displayed depth guarantee better execution?
No. Resilience, cancellation behaviour and hidden liquidity matter too.
Summary
- CEX order books organise resting bids and asks by price and size.
- Large aggressive orders can walk through several levels.
- Spread, depth and resilience should be analysed together.
- Displayed liquidity is not guaranteed future liquidity.
This building block is educational and not a trade recommendation.
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