Price is what the last trade happened at. Depth is what your trade will happen at, and the two are only similar in liquid markets.
Dario FennDeFi & Markets Lead · DeFi protocols, yield, market structure and on-chain data
An order book lists resting buy and sell orders by price. The spread is the gap between the best bid and best ask, and depth is how much size sits within a given distance of the mid price. Depth within 1–2% of mid determines your realistic fill on a market order. Displayed size can be misleading — spoofed orders, iceberg orders and hidden liquidity all distort it — so a small test trade is the definitive measure.
The number on a ticker is history: it records a trade that has already happened, possibly for a size far smaller than yours. The order book is the forecast, and reading it takes about thirty seconds.
Two sides. Bids are resting buy orders, listed highest first — the best bid is the most anyone is currently willing to pay. Asks are resting sell orders, listed lowest first. The gap between them is the spread, and the midpoint is the mid price.
A market buy walks up the ask side, consuming each level until your size is filled. If the first level holds less than you need, you pay the second level's price for the remainder, and so on. Your average fill is therefore always worse than the best ask by an amount determined entirely by how much size sits above it.
**Spread**, expressed as a percentage of mid. Under 0.05% is a deep, well-made market. Above 0.5% you are paying meaningfully on every round trip before any fee, as covered in maker-taker fees.
**Depth within 2% of mid**, on each side separately. This is the practical capacity of the market. If $80,000 of asks sit within 2% of mid and you want to buy $200,000, you are going to move the price, and the quoted price is irrelevant to your outcome.
Check both sides, because they are frequently asymmetric. Thick bids and thin asks means buying is expensive and selling is cheap — useful to know before you need to exit.
Most terminals plot cumulative volume at each price, producing the depth chart: a rising line on each side of the mid. The steepness is what you are reading. A steep wall close to mid means large size available with little price movement. A long shallow slope means every additional unit costs more.
A visible cliff — a large single order sitting at one price — deserves suspicion rather than confidence. Genuine large orders are usually broken up precisely to avoid signalling; a conspicuous wall is often there to be seen.
Three distortions. **Spoofing**: large orders placed to create an impression and cancelled before they can fill. If a wall vanishes as the price approaches it, that is what it was. **Iceberg orders**: only a fraction of the true size is displayed, so real depth can exceed what you see. **Hidden and off-book liquidity**: market makers who quote on request rather than resting, which means a thin-looking book can still fill a large order at a reasonable price on a professional venue.
The net effect is that the displayed book understates liquidity on serious venues and overstates it on venues where activity is manufactured — the fingerprints of which are in wash trading.
On an automated market maker there is no book; price comes from a formula over pooled reserves, and the equivalent question is how much your trade moves the pool. Concentrated liquidity makes the two more comparable, since providers place capital in ranges that behave like resting orders — but the same principle applies: what matters is size available near the current price, not the total in the pool.
The comparison is worth running in both directions. For a mid-cap token, a deep AMM pool frequently offers a better fill than a centralised book listing the same asset, and the only way to know is to price the same trade in both. Our market data pages show venue-level liquidity alongside price for exactly this comparison.
Three habits. Size relative to depth: if your order exceeds roughly 1% of the size within 2% of mid, split it or use a limit order. Read the book at the time you intend to trade, because depth collapses in volatility and at low-liquidity hours. And when the number matters, test with a small order first — the realised fill against the quote is the only depth measurement that cannot be spoofed.
For anything above modest size in a token outside the majors, this is the difference between a cost you chose and one you discovered afterwards.
The choice between a limit order and a market order comes down to a simple trade-off: control the price and wait, or take whatever price is available right now.
Splitting one trade across four pools sounds like overhead. On the trades where it matters, it is the difference between a good fill and a bad one.
Two numbers explain almost every disappointing swap, and traders routinely blame the wrong one — which is why they keep setting the wrong tolerance.