Best bid / best ask (BBO)

The top of the book

At any instant the order book has a first level on each side. The best bid is where the most eager displayed buyer waits; the best ask is where the most eager displayed seller waits. The difference between them is the bid-ask spread, and the midpoint is often used as a reference price when no trade is happening.

The BBO moves when its size is fully consumed by trades, when the resting orders at that level are cancelled, or when a new order is placed inside the spread. Each of those events looks the same on a snapshot and different on an event feed.

• On liquid futures such as ES, the spread is usually one tick and the BBO is where almost all activity happens.
• Sizes at the BBO are displayed sizes; icebergs replenish them without showing the reserve.
• A locked or crossed book, where bid equals or exceeds ask, is a feed artefact on a matched market and should be treated as a data condition, not a price.

Why the BBO defines bid and ask volume

A footprint splits each level's volume into bid volume and ask volume. That split is made by comparing each trade's price with the BBO at the moment of the trade: a trade at the best ask was an aggressive buy lifting the offer; a trade at the best bid was an aggressive sell hitting the bid. Delta is ask volume minus bid volume. Without a reliable BBO, or a venue-provided taker flag, the split is a guess.

• Trades reported with a side by the exchange (Binance's buyer-is-maker flag, Bybit's taker side) do not need the BBO comparison.
• Trades inside the spread, possible on some venues, need an explicit rule; whatever the platform does with them is a data decision to document, not a detail to hide.
• Microstructure measures built from the BBO, such as OFI and microprice, are sensitive to quote update rate and to gaps.

In Senzoukria

On the Heatmap page, the "Best bid / ask lines" option in the heatmap settings draws the two prices across the canvas with an adjustable "Best bid / ask thickness", so the spread's history is visible against the resting bands. The side of each level in the two-colour heatmap mode is read from the aggregated book against the best bid and ask at that instant; the side-colouring source note states that this is measured, never presented as an order-by-order observation.

On the DOM ladder the BBO is the pair of rows at the centre; "Back to the spread" recentres the ladder on it after scrolling through depth. The Bid × Ask footprint cells and the executed-volume columns of the heatmap use the same classification: delta equals executed at ask minus executed at bid.

Common mistakes

• Using the last trade price as the BBO. The last trade may be stale; the BBO is the live quote.
• Reading a large size at the best bid as support. It is a displayed quantity that can be pulled.
• Applying the BBO comparison to a feed whose quotes lag its trades. The lag misclassifies sides and corrupts delta.
• Assuming the spread is always one tick. Thin contracts and off-hours sessions widen it.