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An Analysis of Order Book Depth on Binance

An Analysis of Order Book Depth on the Binance Exchange 14 Mar 2019

This piece is the first of a three-piece series. We’re covering order book depth in this one. The second and third pieces cover bid-ask spreads and slippage, respectively.

Binance consistently ranks as the #1 exchange by trading volume across market data aggregation sites like Coinmarketcap and Blockchain Transparency Institute.

But pundits know that trading volume is an unreliable metric. Almost every cryptocurrency exchange reports larger trading volumes than what they actually have.

On the other hand, order book data is significantly more trustworthy. You can test the validity of an order book by executing an order against it. Only an exchange completely out of their wits would try to tamper with its order book. It’s a completely reckless, fraudulent, and self-destructive move.

While you can find plenty of data on Binance’s trading volumes. I haven’t been able to glean any information or analysis on Binance’s order book. So this article is going to feature a deep dive on this topic.

Note that this piece is actually the first of a three-piece series. We’re covering order book depth in this one. The second and third pieces will cover bid-ask spreads, and slippage, respectively.

What is an Order Book?

An order book is just an electronic list of buy and sell orders for an asset, organized by price level.

These buy and sells orders are respectively referred to as bids and asks. A bid refers to the highest amount of price you are willing to pay for an asset. An ask refers to the lowest amount of money you are willing to sell your asset for.

If you submit a buy/sell order for a quantity that can be instantly matched at the proposed price, you are considered a taker**. **Taker trades do not go on the order book since they do not need to.

If the buy/sell order cannot be matched at the proposed price and you are waiting for someon...

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