Interactive Guide

The Anatomy of a Trade

An interactive journey through market microstructure: watch orders become prices, feel the spread respond to stress, and discover why these mechanics shape every trade you will ever make.

Start reading

01The Order Book Comes AliveEvery market starts with two opposing lines: buyers and sellers, stacked by price and size. The order book is not just a record — it is the market's living, breathing state.
Imagine a room where buyers line up on the left and sellers on the right. The person at the front of each line sets the best bid and best ask. The gap between them is the spread. When a buyer gets impatient and crosses over to the seller's side at their price, a trade happens.
Live order bookSimulated
One tick every 500 ms
Mid price
A market order hits
103.07102.0599.00
100 s agonow
PriceSize
103.702.12
103.606.99
103.504.24
103.104.72
102.309.20
102.104.96
spread0.10
102.006.64
101.901.53
101.7014.32
101.3012.42
101.108.98
100.907.20
Price levels in the live order book
Total quantity available at this price
Mid
102.05
Spread
0.10
Last trade
—
Order size
10.0
Size10.0
Shown: an illustrative order book, simulated in your browser. Try a large size (10+) and watch the spread blow out.
Try placing a market buy with a large size. Watch how the order eats through the ask side, consuming liquidity level by level. The spread widens. The midprice shifts. This is in its most elemental form.
Biais, Hillion & Spatt (1995) showed that the shape of the order book — not just the best price — contains predictive information about future price dynamics. The distribution of depth across levels reveals strategic positioning before it shows up as obvious price moves.
The book above is simulated. Our measures the depth of real books, and there's a free sample to try.
02The Price of UncertaintyThe spread is not just a cost — it is a risk price. Market makers set it wide when they're nervous, like a store charging more for something they're not sure they can restock.Read
03Below the SurfaceComing soon
04Follow the FlowComing soon
05Every Trade Leaves a MarkComing soon
06The Signal ChainComing soon

Interactive Guide

The Anatomy of a Trade

An interactive journey through market microstructure: watch orders become prices, feel the spread respond to stress, and discover why these mechanics shape every trade you will ever make.

Start reading

01The Order Book Comes AliveEvery market starts with two opposing lines: buyers and sellers, stacked by price and size. The order book is not just a record — it is the market's living, breathing state.
Imagine a room where buyers line up on the left and sellers on the right. The person at the front of each line sets the best bid and best ask. The gap between them is the spread. When a buyer gets impatient and crosses over to the seller's side at their price, a trade happens.
Live order bookSimulated
One tick every 500 ms
Mid price
A market order hits
103.07102.0599.00
100 s agonow
PriceSize
103.702.12
103.606.99
103.504.24
103.104.72
102.309.20
102.104.96
spread0.10
102.006.64
101.901.53
101.7014.32
101.3012.42
101.108.98
100.907.20
Price levels in the live order book
Total quantity available at this price
Mid
102.05
Spread
0.10
Last trade
—
Order size
10.0
Size10.0
Shown: an illustrative order book, simulated in your browser. Try a large size (10+) and watch the spread blow out.
Try placing a market buy with a large size. Watch how the order eats through the ask side, consuming liquidity level by level. The spread widens. The midprice shifts. This is in its most elemental form.
Biais, Hillion & Spatt (1995) showed that the shape of the order book — not just the best price — contains predictive information about future price dynamics. The distribution of depth across levels reveals strategic positioning before it shows up as obvious price moves.
The book above is simulated. Our measures the depth of real books, and there's a free sample to try.
02The Price of UncertaintyThe spread is not just a cost — it is a risk price. Market makers set it wide when they're nervous, like a store charging more for something they're not sure they can restock.Read
03Below the SurfaceComing soon
04Follow the FlowComing soon
05Every Trade Leaves a MarkComing soon
06The Signal ChainComing soon