Spreads in Basis Points: A Fair Way to Compare Execution Cost
A $1 spread means very different things on a $100 asset and a $70,000 asset. Normalizing the cost of immediacy across instruments and venues.
The bid-ask spread is the price of immediacy: what a trader pays to transact now rather than wait for a counterparty. In absolute terms it is hard to compare. A spread of one dollar is negligible on an asset priced in the tens of thousands and material on one priced near one hundred. Expressing the spread in basis points of the mid-price puts every instrument on the same scale.
Figure 1Spread and near-touch depth, live
Live data| Market | Mid | Spread | Bid depth (10) | Ask depth (10) |
|---|---|---|---|---|
| BTC/USD | — | — | — | — |
| ETH/USD | — | — | — | — |
| SOL/USD | — | — | — | — |
Quoted, effective, and realized
- Quoted spread: the difference between displayed best prices. It applies only to the size resting at the touch.
- Effective spread: twice the distance between the actual fill price and the mid at the time of the order. It captures walking the book.
- Realized spread: the effective spread adjusted for where the mid moves afterwards — a measure of what liquidity providers actually earn.
For institutional size, the quoted spread is almost never the cost incurred. An order larger than the resting quantity at the best price consumes successive levels, and the average fill price moves away from the mid. That is why spread and depth must be read together: a tight spread over a thin book can be more expensive for size than a wider spread over a deep one.
Comparing across venues
Venue comparisons should hold the measurement fixed — same instrument, same time window, same size buckets — and should account for fees, which on many venues are comparable to or larger than the quoted spread for liquid pairs. We publish spreads alongside depth within basis-point bands so that desks can estimate expected cost for the sizes they actually trade.
This publication is provided for informational purposes only and does not constitute investment, legal, or tax advice, or an offer or solicitation to buy or sell any asset. Live figures are computed from third-party public market data and may be delayed, incomplete, or inaccurate.
