Who Leaves the Spread Behind?
Read the book as waiting inventory and compare spread, level depth, and the real cost of a sweep.
- Separate spread, depth, and last trade
- Explain why makers quote both sides
- Use book changes to tell when liquidity is thinning
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Read the book as waiting inventory and compare spread, level depth, and the real cost of a sweep.
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Think about these questions first.
Choose an answer before opening the explanation. You can add anything unexpected to your review list.
Q01The spread is only 1. Why can a large order still be expensive?＋
The spread describes only the first tiny level. If the best ask has one unit and higher levels rise quickly, a large order walks the book; cost depends on the depth behind the doorway.
Order-book liquidity is not an abstract percentage. It is inventory willing to wait at different prices. Best bid, best ask, level sizes, and the last trade together determine what a trade costs now and where a larger order will move the price.
Spread is the first trading cost
Best bid is the highest current buy price; best ask is the lowest sell price. The spread is not a fee charged by one person—it is the gap an immediate round trip must cross. Makers quote both sides, carrying inventory and adverse-selection risk in exchange for possible spread income.
LAB / credits
Limit orders enter the queue; only a crossed book turns them into fills.
Can one buy cross several price levels?
Read best-ask size, then adjust the depth probe. Only when it reaches 105 does average execution rise above the first quote.
Read the book first: best ask is the lowest sell, best bid is the highest buy. Matching starts only when buy price reaches sell price.
- 01
Book created: best ask 102 分（两个价位相同's 订单），best bid 98 .price and time priority must be preserved。
Use the slider to return to an earlier step. Continuing from there replaces the later history with a new sequence.
Maker and taker are different actions
- A maker leaves a limit order and waits. It adds visible depth but can be selected by informed flow.
- A taker crosses the spread and consumes existing liquidity. It gets immediacy but can pay spread and impact.
The same account can perform either action. A “buy” button alone says nothing about cost; ask whether it joins the queue or crosses the ask.
Expand: how this step works
spread = bestAsk - bestBid
average = sum(fill.price * fill.quantity) / sum(fill.quantity)
impact = average / bestAsk - 1
Spread, price impact, and fees are separate: spread is the gap between quotes, impact comes from moving through available levels, and fees are an extra protocol or venue charge. Mixing them hides whether a market is expensive or simply thin.