Two prices do not show the whole market
The best bid is the highest displayed buying price; the best ask is the lowest displayed selling price. Their difference is the quoted spread. An order book also shows quantities available at successive price levels. A tight spread can coexist with little quantity at the best prices. For a larger order, the relevant question becomes how much is offered across the book, and what average price that quantity would imply.
A small book, worked through
Imagine a teaching-only silver market offering 100 ounces at $30.00 and another 200 ounces at $30.03. A purchase of 300 ounces that fills exactly against those offers costs $9,006: $3,000 plus $6,006. Divide by 300 and the average is $30.02 per ounce before fees. The best ask was $30.00, but it covered only the first portion. These invented quantities explain weighted execution prices; they are not exchange contract sizes or a real quotation.
Depth is a moving snapshot
CME explains that its electronic book changes as orders are created, traded or cancelled. Displayed depth can therefore change between observation and execution. Other participants may trade first, offers may disappear, and new orders may arrive. The hypothetical fill is conditional on the stated offers remaining available when the purchase reaches the market. A screenshot cannot guarantee either the total quantity obtainable or the eventual average price, especially when conditions change quickly.
Read liquidity in more than one dimension
Spread, depth and estimated cost to trade describe different aspects of liquidity. CME’s liquidity tools separate these measures and let users examine different order sizes and time intervals. Compare like with like: the same instrument, session and quantity. For an actual silver contract, translate lots into exposure using its published specifications. A market that comfortably accommodates a small order may be less accommodating for a much larger one; a headline spread alone cannot resolve that difference.
Sources & further reading
- CME Group — Understanding the CME Liquidity Tool Methodology ↗
- CME Group — CME Liquidity Tool User Guide ↗
Sources checked 14 November 2026. Reference organisations do not endorse this website. Price examples are hypothetical and educational.