--- title: "What are the order book, bid ask spread, impact cost and" description: "The order book lists the buy and sell orders waiting at each price, and the bid ask spread is the gap between the best buy and the best sell price." source_url: "https://www.rupeecase.com/learn/questions/order-book-spread-impact-cost" --- A large market order walks up the book and fills above the best ask How the order book, the spread and impact cost connect. A rule diagram with no market figures. Source: NSE equity derivatives contract specifications, tick size and trading rules. As of 16 Oct 2026. The order book is the live list of resting orders. The buy side, or bids, shows prices buyers will pay and the quantity at each. The sell side, or asks, shows prices sellers will accept and the quantity at each. The best bid is the highest buy price, and the best ask is the lowest sell price. The spread is the gap between them, and the middle price, halfway between the two, is a reference point. A market order does not fill at the middle. It takes the best available price, then the next, then the next, until its quantity is filled. The chart follows an order walking up the asks. Impact cost is the cost of that walk, measured as the gap between the average price the order gets and the middle price before it was placed. A thin book, a large order or a hurried order all raise it. The spread is paid on a small order too, while impact grows with size, so the two costs are different. Tick size is the smallest allowed change in price. The exchange sets it in the contract specification, and it sets the grid on which bids and asks can sit. The dated chain files behind these pages hold settlement and closing prices, not bids and asks, so no spread can be read from them. A cost estimate needs the book itself, and the [lot size question](/learn/questions/nifty-lot-size) sets the quantity an order has to fill. **Before you trade.** Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. [Read the SEBI study](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html) What are the order book, bid ask spread, impact cost and tick size?The order book lists the buy and sell orders waiting at each price, and the bid ask spread is the gap between the best buy and the best sell price. Impact cost is how far a large order pushes its average fill away from the middle of the book, and tick size is the smallest step in which a price can move. LGo deeper ## Where Learn teaches this. [Module 10.1How Orders Actually Work: Market Microstructure India14 min, Path 10](/learn/path-10/module-10-1-how-orders-actually-work-market-microstructure-india) SSources ## Go to the source. 2 sources, NSE the most cited The publisher of each source listed below. Source: Module undefined source list. 1. [NSE, equity derivatives contract specifications (tick size, expiry, settlement)](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE 2. [SEBI master circular, Chapter 5 Exchange Traded Derivatives (Dec 2024)](https://www.sebi.gov.in/sebi_data/commondocs/dec-2024/RE_Chapter%205%20-%20Exchange%20Traded%20Derivatives%20FINAL_1_p.pdf) SEBI ?Questions people ask ## Related questions. 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Scan the code, fillFill one short form, and join my WhatsApp group. Slides, sources, factsheets and the rebalance logs live there, and members join a daily Google Meet with me. New to RupeeCase? [Getting started](/getting-started) [See the terminal](/terminal) [Sign up for RupeeCase](https://invest.rupeecase.com/signup) [Join the WhatsApp group](https://forms.gle/C6HMtM1Z2GfeocQV7) [One form, one group](https://forms.gle/C6HMtM1Z2GfeocQV7)Scan with your phone camera Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.