There is not one price
The current price on screen is the last price that traded. The price you can actually buy at and the price you can sell at are separate, with a gap between them. The distance between the highest price buyers have posted and the lowest price sellers have posted is the spread. Buying and selling immediately starts you down by that difference.
What the order book shows
An order book displays how many orders are stacked at each price level. A large stack means that much trading is needed to move past it. Resting orders can be cancelled at any time, though, so a stack that looked like a wall sometimes disappears as price approaches. The book is a photograph of the current state, not a promise.
Market versus limit
The two differ in what they guarantee and what they give up. Which suits better depends on the situation.
- Market: immediate fill, but the price is not guaranteed
- Limit: your price, but the fill is not guaranteed
- Conditional orders: they set a trigger, not a guaranteed fill
- In a thin book, market orders become risky
Why slippage happens
A market order consumes the best-priced orders first. When your size exceeds what sits at that level, it moves to the next, and the average fill price shifts accordingly. That is slippage. It is barely noticeable in heavily traded assets and widens sharply in thin ones or during violent moves.
Makers and takers
Posting an order to the book and adding liquidity makes you a maker; taking an existing order for an immediate fill makes you a taker. Many exchanges charge makers a lower fee, to reward thickening the book. For frequent trading, that difference accumulates.
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