Bids, asks and the spread
A bid is a resting offer to buy; an ask is a resting offer to sell. The highest bid and lowest ask are the best prices. Their difference is the spread. The midpoint is (best bid + best ask) / 2. A market buy consumes asks from cheapest upward; a market sell consumes bids from highest downward.
The Binance documentation describes price-and-quantity pairs, while Bybit documents a snapshot with bids descending and asks ascending. Both exclude RPI orders from these responses. These public books describe displayed liquidity, not every possible source of execution.
Depth needs a distance and a unit
At live order-book depth, the bands are ±0.1%, ±0.5%, ±1% and ±2% from each book's midpoint. For a 1% band, include bids at or above mid × 0.99 and asks at or below mid × 1.01. Sum price × base-coin quantity on each side: this is quote-currency notional, not a count of orders or coins. USDT perpetual books are displayed as dollar notional; that convention is not a guarantee that USDT always equals one US dollar.
Wider bands include narrower bands, so do not add them together. If the returned levels do not extend beyond a band boundary, its depth is marked ≥: more unseen orders could belong in that band. The site requests up to 500 levels per side for each venue's top 20 USDT perpetuals by open interest. A build needs at least 80% book coverage to replace a previously good view; check the displayed freshness and coverage rather than assuming every venue is current.
Signed imbalance versus a bid/ask ratio
Imbalance = (bid notional − ask notional) / (bid notional + ask notional). It ranges from −1 to +1, or −100% to +100% when formatted as a percentage. Positive is bid-heavy, negative is ask-heavy, zero is balanced; no notional means undefined. This is not the bid/ask ratio, which divides bid notional by ask notional.
The depth page targets ±1%, but uses the smaller of 1%, the deepest returned bid's distance from mid, and the deepest returned ask's distance from mid. Both sides are therefore compared over the same reachable distance. Read the actual range and limited-level warning. The bid/ask ratio tool offers another view of resting balance; neither measure identifies executed taker flow or predicts a move.
Illustrative book walk: not live data
Assume a synthetic coin quoted in USD, with three returned levels on each side and no fees. The price/quantity representation follows the exchange documentation linked above; the prices and sizes below are invented.
- Bids: $99 × 2 coins = $198; $98 × 3 = $294; $97 × 1 = $97.
- Asks: $101 × 1 coin = $101; $102 × 2 = $204; $103 × 1 = $103.
Mid = $100 and spread = $2, or 200 basis points (bps). Within ±1%, bid depth is $198 and ask depth is $101. Imbalance = (198 − 101) / (198 + 101) = 97 / 299 ≈ +32.44%. The bid/ask ratio is 198 / 101 ≈ 1.96. Within ±2%, depth becomes $492 of bids and $305 of asks; the third levels are outside that band.
To simulate a $203 market buy, spend $101 on the first coin at $101, then $102 on one of the two coins at $102. This uses only part of the second level and buys 2 coins in total. Average price = $203 / 2 = $101.50. Buy cost relative to mid = (101.50 / 100 − 1) × 10,000 = 150 bps, or 1.5%. This includes crossing the spread. It is not just the difference from the best ask.
For a sell, walk bids instead; sell cost = (1 − average price / mid) × 10,000. The live depth table estimates $1M orders; BTC's detail page also estimates $100k orders. Its combined cost averages the buy and sell estimates.
What if the snapshot runs out?
The synthetic asks contain only $408 for 4 coins. A $511 buy exceeds that returned depth by $103. The site's lower-bound calculation assumes that missing $103 buys one more coin at the last price of $103: $511 / 5 = $102.20 average, giving ≥220 bps from mid. Only the first 4 coins are supported by the snapshot. The assumed fifth coin is not observed liquidity; the true remainder could cost more or fail to fill. If a real order is only partially executed, its executed-quantity average must be reported separately from its unfilled remainder.
Snapshot liquidity is not a promise
Displayed orders can cancel or change before an order arrives. Snapshot cost excludes fees, latency, other traders' executions and any subsequent replenishment. It is a calculation on returned levels, not an execution quote or guaranteed outcome.
The order-book liquidity heatmap visualizes measured resting bids and asks. A modelled liquidation heatmap instead estimates possible forced-close prices from assumptions about leveraged positions. A bright liquidation band is not evidence that matching limit orders exist there. Compare source, timestamp, venue coverage and methodology before comparing the two.
Checked against the exchanges' own documentation on 13 October 2026: Binance futures order-book API · Bybit order-book API. Not financial advice.