Bid-ask spread

The bid-ask spread is the difference between the best ask and the best bid, the price gap an aggressive order pays to trade immediately. On liquid futures it is usually one tick; it widens when displayed liquidity thins, around news, and outside regular hours.

Senzoukria · Glossary · Updated September 2026

Definition

Spread = best ask − best bid. A buyer who wants to trade now pays the ask; a seller who wants to trade now receives the bid; the spread is the cost of immediacy that the two of them pay between them, collected by whoever rested the orders. It is quoted in ticks on futures and in price units or basis points elsewhere.

The spread is a property of the order book at an instant. It requires the top of the book, which a trade feed alone does not contain.

  • One tick is the minimum on a normal book; the exchange's tick size sets the floor.
  • A wider spread means fewer displayed orders near the market, whatever the reason.
  • The spread and the depth behind it are different things: a one-tick spread with 5 contracts on each side is thin; a one-tick spread with 800 is thick.

Reading spread changes

  • Widening into a scheduled release describes market makers stepping back before the print; the DOM trading guide covers how to measure it on the ladder.
  • A spread that stays wide after volatility subsides describes a book that has not refilled.
  • On crypto perpetuals the spread can be several ticks even on active pairs because tick sizes are small relative to price.
  • Spread widening changes the cost of every market order; a strategy tested on one-tick assumptions behaves differently when the spread is three.

In Senzoukria

The live spread is visible on the Heatmap page: the "Best bid / ask lines" option draws both prices across the canvas, and the DOM ladder shows the two rows around it, with "Back to the spread" to recentre after scrolling. The heatmap's "Right space (%)" setting keeps room after the live edge so that the book on both sides of the spread stays visible.

On the Footprint page, where bars aggregate trades and carry no quotes, the catalog offers Spread Proxy (ticks): the rounded bar range in ticks divided by the number of traded levels. A thick book prints at every tick of the range, giving a ratio near 1; a thin book skips ticks between prints, giving a ratio above 1. The indicator's own note says bid/ask quotes and the actual order-book spread are not observed, and it emits no output when tick size or usable levels are missing rather than a zero.

Common mistakes

  • Reading the Spread Proxy as the quoted spread. It is a geometry proxy from executions, not a quote measurement.
  • Ignoring the spread when comparing backtests to live results. Slippage often is the spread.
  • Assuming a one-tick spread means deep liquidity. Check the sizes at the BBO and behind it.
  • Measuring the spread from a feed whose quotes update slower than its trades.

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Frequently asked questions

Why is the bid-ask spread usually one tick on ES?
Because ES is deeply traded and many participants compete to rest orders at the best prices, so the first bid and the first ask sit one tick apart almost all the time during regular hours. That is a description of how the book usually looks, not a guarantee; the spread widens around news and in thin overnight periods.
Can I see the spread on a footprint chart?
Not directly. A footprint bar contains executed trades grouped by price; it does not carry the quotes that define the spread. Senzoukria's Spread Proxy (ticks) approximates the book's thickness from how many ticks price skipped between prints inside a bar. For the actual spread, read the DOM ladder or the best bid / ask lines on the heatmap.
Does a wide spread mean the market is about to move?
It means displayed liquidity near the market is thin, so a given order size can move price further than usual. Whether a move follows depends on whether aggressive orders arrive. The spread describes the cost and fragility of trading at that instant, not the direction.

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