Liquidity and market structure: why price moves between your trades
Bids, asks, spread and depth. Reading the order book as a map of where price can travel cheaply — and where it cannot.
Перевод пока недоступен — показан английский вариант.
The book is a queue, not a price
Every venue holds two queues: bids (what buyers will pay) and asks (what sellers demand). The highest bid and lowest ask are the touch — the gap between them is the spread, and it is the cost of trading right now. Anything inside the spread is impatient money paying for immediacy.
Depth decides what your size costs
Beyond the touch sit stacked orders — the depth. A small order eats only the touch; a large one walks through levels, paying worse prices with each step. That walk is slippage, and it is knowable before you click: deep books absorb size, thin books punish it.
Price moves to where the orders are
Short-term price action is mostly the touch migrating between pockets of resting orders. Breaks of visible structure — a level where large bids sat getting consumed — tell you absorption happened, not that "support broke" by magic. Watch what fills, not what prints.
What this means on JW3
Across ten CEX venues, five perp venues and onchain pools, the same asset has different books everywhere. Routing to the deepest venue for your size is often worth more than a slightly better headline price on a thin one.
Risk note: cryptocurrency trading, leveraged perpetual futures, and automated algorithmic strategies carry significant risk of rapid and total financial loss. Never risk funds you cannot afford to lose completely. Nothing in this lesson is investment advice, a recommendation, or an offer to sell any product.
Чек-лист
- I can explain the spread as the cost of immediacy
- I check depth before sizing, not after