Who is on the other side of my trade?
Every fill has a counterparty: a market maker, a patient trader waiting with a limit order, or someone faster than you. The order book lists them. The spread is the price of trading right now, and depth is how much is waiting at each level.
What it is
The order book is a list of people waiting to trade with you: bids below the current price, offers above it. The gap between the best bid and the best offer is the spread. Depth is how much is waiting at each level.
Why it matters
A market order takes whatever is waiting and pays the spread. A limit order joins the queue at your price and may never fill. The order book in BuildTrade™ shows what you are about to take, or wait behind, before you send the order.
What the research says
The market-microstructure literature describes trading as a search: buyers looking for sellers and the reverse, with dealers and patient limit-order traders supplying the ability to trade now. Impatient traders pay them for it through the spread. For a small trader the lesson is simple: know whether you are the one demanding immediacy or the one supplying it, because the cost moves with that choice.
Switch a paper order from Market to Limit and watch the estimated fee and slippage rows change.
Trading and Exchanges: Market Microstructure for Practitioners, Larry Harris (2003).
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