How Bitcoin Order-Book Depth and Imbalances Change with Price Distance
Summary
This analysis studies minute-level order-book snapshots for Binance’s BTC/FDUSD market over a six-week period in 2025, measuring displayed depth at distances from 5 to 100 basis points around the midpoint. It finds that depth accumulates non-linearly: liquidity builds quickly through the middle distance levels and then grows more slowly farther away. Relative variability declines at wider levels. The study also reports a shift from slight bid dominance near the midpoint to ask dominance farther out, while minute-by-minute imbalances remain variable.
The practical discussion connects this structure to execution: displayed liquidity near the best prices represents only part of the available book, and large market orders can incur meaningful slippage. The article says depth patterns remained broadly stable across the sampled price conditions, and that observed imbalances had little relationship to subsequent price changes. These findings describe one trading pair and a limited period; they do not establish that the same patterns hold across venues, assets, or market regimes. The execution cost estimates are sample-specific, and the article does not provide a controlled live-trading comparison.
Key ideas
- Order-book depth increases non-linearly as distance from the midpoint widens, with faster accumulation at intermediate levels.
- Relative variation in displayed depth decreases at wider price distances in the studied sample.
- The average book shifts from modest bid dominance near the midpoint toward ask dominance farther away.
- Observed order-book imbalances were reported to have little association with subsequent price moves.
- Execution estimates and structural conclusions are specific to one pair, venue, and sample period.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.