What order book depth means for a big order

The price an exchange shows is the best one in its order book, and it comes with a size: how much is for sale at that price. An order bigger than that takes the next level up, then the next, each at a worse price. How much sits close to the best price, the book's depth, decides what a big order really costs.

Walking the book

A market buy takes the lowest ask first. When that's used up it takes the next lowest, and so on until it's filled. What it pays on average is those levels' prices, weighted by how much it took at each. The difference between that average and the best ask is its price impact: the cost of being big. A sale works the same way down the bids.

$10,000 against $1,000,000

For a small order, depth hardly matters. At 13:50 UTC on 2 October, a $10,000 Bitcoin buy on the four exchanges the site starts with cost between $0.17 and $2.63 more than the best price on any of them, before fees. Hyperliquid was the cheapest, by $2.47.

A minute earlier, the same page priced a $1,000,000 buy.

A $1,000,000 Bitcoin buy: its cost above the best price, before fees

• Kraken30 price levels$73.97
• Coinbase64 price levels$439.51
• Hyperliquid24 price levels$538.15
• OKX$883,343 in its 400 levelsCouldn’t fill

The Trade simulator with the four on by default: price impact, plus any start above the best ask anywhere. 13:49 UTC, 2 October 2026.

Kraken filled it across 30 price levels, at an average of $86,902.33 against its best ask of $86,895.90: $73.97 more than the best price. Coinbase needed 64 levels and Hyperliquid 24, for $439.51 and $538.15. OKX had the lowest price of the four that moment, and a spread as tight as Kraken's, $0.10. But its Bitcoin market here, priced in USDC, had $883,343 of sell orders in the 400 levels its feed sends: not enough to fill the order at all.

Same coin, same minute: $464.18 between the best exchange for a million dollars and the dearest, 0.046%. For $10,000, the four lined up differently, and the whole difference was $2.47.

Reading depth on the site

• Deepest book, under Liquidity on each coin's page, is the value of orders within 0.1% of each exchange's best bid and ask: how much you could buy or sell before the price moves 0.1%. At 13:49, Kraken's held $11.3M, Coinbase's $4.7M, Hyperliquid's $2.2M and OKX's $729.8K.
• Depth over time charts the same as books fill and empty.
• The Trade simulator takes your own amount, to buy or to sell, and walks every live book: the average fill, the price impact, how many levels it took, and the exchanges ranked by the total. Fees are off until you switch them on, at your own tier.
• The order book on each coin's page merges every exchange's levels into one, so you can see where the size sits.

The best price is where a small order starts. For a big one, the depth behind it is what counts.