Turn the order book into an execution estimate
A prediction-market price can summarize the latest trading range, but it does not tell you how many shares are available at that level. The order book supplies the missing information by pairing each quoted price with an available quantity.
This guide explains bids, asks, spread, and cumulative depth in plain language. It focuses on reading the book before an order, not predicting whether a market outcome will occur.
Why order-book reading matters
Price without size is incomplete. A small ask near the displayed probability may disappear after a modest buy. Reading size beside price prevents a thin top level from being mistaken for the price of the whole order.
Entry and exit use opposite sides. A buyer normally meets asks, while a seller normally meets bids. A midpoint can look attractive even when both executable sides are far away; the analytics tools guide helps compare interfaces used to inspect that gap.
The order-book reading workflow
1. Identify bids, asks, and your side
Bids are standing offers to buy at stated prices and sizes. Asks are standing offers to sell. For an immediate buy, inspect asks from the lowest price upward; for an immediate sale, inspect bids from the highest price downward.
Best for: avoiding the common error of valuing a sale from the ask side or valuing a purchase from the bid side.
2. Read the best bid, best ask, and spread
The highest bid and lowest ask form the top of the book. Their difference is the bid-ask spread, which is one visible cost of demanding immediate liquidity.
A narrow spread can help small orders, but it does not prove that deeper size is available. Reality check: always inspect quantity and the next several levels before calling a market liquid.
3. Build cumulative depth for your order size
Add available quantity level by level until the planned order is covered. Multiply each level's quantity by its price and divide total cost by filled quantity to estimate a size-weighted average fill.
If visible depth does not cover the order, label the remainder uncertain rather than extending the top price. What to look for: where the average fill changes sharply as size increases.
View tool detailsA directory-listed analytics option. Verify whether its book data is live or delayed and confirm critical levels in the execution interface.4. Distinguish midpoint, last trade, and executable quotes
The midpoint is halfway between the best bid and ask. The last trade records a past execution. Neither guarantees a current fill for your quantity.
Use them as references and label them clearly. Limitation: a portfolio marked at midpoint can overstate immediate exit value when bids are shallow.
5. Watch changes without inventing intent
New orders, cancellations, and trades change the book. A disappearing level can reflect genuine urgency, routine cancellation, or a participant adjusting risk; the book alone does not reveal motive.
Track repeated changes, completed trades, spread, and depth together. Best for: identifying when an execution assumption needs review without treating every movement as information about the final outcome.
How to evaluate book quality
Record spread, depth within a chosen price range, expected average fill for a standard size, and the timestamp. Repeating the same sample makes different markets and time periods easier to compare.
Stress the estimate by reducing visible top-level size and widening the spread. If the expected edge disappears under a modest change, smaller size or no trade may be the more disciplined conclusion.
Limits and risks
Displayed depth is not guaranteed. Standing orders may be cancelled before yours executes, and queue position can affect whether a limit order fills. New liquidity may also arrive, so a snapshot is an estimate rather than a promise.
Data and interpretation risk. Interfaces can lag or aggregate levels differently. Confirm market wording and resolution rules separately; a well-read book does not make the underlying forecast correct.
Getting Started
- Choose one market and note the exact outcome token.
- Record best bid, best ask, spread, and timestamp.
- Walk the correct side of the book for a small test size.
- Calculate the size-weighted average fill.
- Repeat with a larger size and compare the change.
- Save the estimate and compare it with any actual fills.
Start with a small hypothetical order and write down every assumption. The exercise should make the difference between a displayed probability and an executable price obvious.
Use the same worksheet before meaningful orders so liquidity review becomes a repeatable part of the decision rather than a reaction after a poor fill.
FAQ
What is the best bid in a Polymarket order book?
It is the highest currently displayed price at which a participant is offering to buy a stated quantity.
What is the best ask?
It is the lowest currently displayed price at which a participant is offering to sell a stated quantity.
Is the midpoint the price I will receive?
Not necessarily. It is a reference between the best bid and ask; execution occurs against available orders and depends on side and size.
How many order-book levels should I inspect?
Inspect enough levels to cover the full planned quantity, then add a stress case for cancellations or a wider spread.