On this page (5 sections)
Content reviewed: 2026-10-13. Examples are hypothetical.
An order book shows prices and quantities at which participants currently offer to trade. It helps estimate execution cost; it does not reveal every trader's motive or guarantee that a quote will still exist when your order arrives.
Distinguish the two sides
Buying immediately consumes asks; selling consumes bids. The difference between the best bid and ask is the spread. Polymarket documents that its displayed probability can be a midpoint, so it should not be mistaken for a price available on either side.[1]
Kalshi's binary API represents Yes and No bids. A No bid of $0.38 implies a Yes ask of $0.62, while a Yes bid of $0.57 implies a No ask of $0.43.[2] These are complementary quotes for one contract, not an instruction to reverse prices across unrelated markets.
Calculate depth-weighted cost
Imagine the following offers to sell Yes, excluding fees:
| Ask price | Available contracts | Cost to take that level |
|---|---|---|
| $0.50 | 20 | $10.00 |
| $0.52 | 30 | $15.60 |
| $0.56 | 50 | $28.00 |
A 50-contract purchase costs $25.60, an average of $0.512. A 100-contract purchase costs $53.60, an average of $0.536. Using the top quote of $0.50 for the entire order understates the second purchase by $3.60. Add the applicable fees after estimating the fill distribution.
Use a limit to express your boundary
A buy limit of $0.52 in this example prevents paying $0.56, but it does not guarantee that all 50 cheaper contracts remain available. An order may rest, fill partly or expire according to its instructions. Polymarket's documented order types make these choices explicit.[3]
Before a news release, decide whether you want resting exposure at all. An order that looked attractive a minute earlier can become unfavorable when new information arrives. Canceling it requires confirmation; an already completed fill cannot be canceled.
Treat visible size as provisional
An unusually large order might disappear or be offset elsewhere. The book alone does not establish who placed it or what they know. Compare repeated observations, completed trades and the underlying event evidence before drawing conclusions about a "whale."
For a trading note, record the observation time, top bid and ask, size you could trade, estimated average fill and your own maximum acceptable price. Recalculate if the book changes. The mispricing guide explains why an apparent probability edge must survive these execution costs.
References
- Polymarket Documentation. Prices & Orderbook. Accessed October 13, 2026.
- Kalshi API Documentation. Orderbook Responses. Accessed October 13, 2026.
- Polymarket Documentation. Place Orders. Accessed October 13, 2026.