解读深度图与订单簿

1. 订单簿剖析

An order book is the list of every unfilled buy order (bid) and sell order (ask) on a market. Bids on the left, asks on the right, sorted by price. The top of the book is the best bid (highest price someone will pay) 与 best ask (lowest price someone will sell at). The difference between them is the spread.

On bitexasia, the order book on the trading page shows you ten levels of bids and ten levels of asks by default. Each level shows price, size, and aggregated size cumulatively from the top. The depth chart visualises the same data as a stacked-area graph — bids in green on the left, asks in red on the right.

2. 價差反映流动性,而非方向

窄價差(在主流交易所上 BTC/USD 的價差為 0.5 个基点)意味着對手报价處有大量流动性。宽價差(小市值币種 50+ 个基点)意味着做市商不愿紧密报价 — 波動过大、流量过少,或两者兼有。價差本身不能告诉您方向。

3. 大额挂单多為噪音

A "wall" is an unusually large limit order at a single price. They look impressive on the depth chart — a tall step in the staircase. They're also usually fake.

Real conviction in a price doesn't sit at one level forever; it gets executed or cancelled. Walls that persist for hours are usually market-makers signalling intent, hoping to push price in their direction. They get pulled the moment price approaches them. 不要基于大额挂单进行交易。 They're news, not strategy.

4. 订单簿形態真正告诉你的事

三種值得关注的形態:

• 對称、平滑的订单簿。 两侧流动性相当,无明显聚集。市場處于均衡。狀態平静。
• 失衡的订单簿 — 买单多于卖单。 如果价格在上涨,这印证了走势(买方在排队)。如果价格在下跌,这是反转的前兆(买方正在吸收抛盘)。
• 一侧订单簿稀薄。 在對手报价外 1–2% 處一侧几乎没有流动性。意味着朝该方向下市价单会大幅推动价格。在这種情况下應使用限价单,而非市价单。

5. 部分成交与表现方式

When you place a market order, it eats through book levels top-down. A 1 BTC market buy on a thin book might fill 0.6 BTC at $67,250, 0.3 BTC at $67,260, and 0.1 BTC at $67,275. Your average price is worse than the touch — that's slippage. The depth chart helps you estimate this before 之前;bitexasia 在下单工单中也会即時显示预估滑点。

6. 订单簿是快照,不是视频

The order book updates many times per second. What you see on the screen at 14:32:15.7 並不等同于撮合引擎在 14:32:15.71. Don't make decisions assuming any specific level will still be there when your order arrives. Use limit orders for precision, market orders for speed, and accept that those are the trade-offs.

7. 如何練習

Pick a high-volume pair (BTC/USDT or ETH/USDT). Open the order book and watch it for ten minutes during the US trading session. Don't trade. Just watch. Notice how walls appear and disappear, how the spread tightens and loosens, how a single large market order shows up as a sequence of fills. Once that motion makes sense, your order ticket will start asking you smarter questions.