The spread on Polymarket is the gap between the best price someone will pay for a share and the best price someone will sell it for; depth is how much money sits near that price. On Nimb, both decide whether your order fills close to the chance you see, and Nimb flags books under $5k as thin.
What are spread and depth?
- Spread
- The spread is the difference between the best ask and the best bid in a market's order book, measured in points.
- Bid and ask
- The bid is the highest price a buyer is offering; the ask is the lowest price a seller will accept. You buy at the ask and sell at the bid.
- Mid price
- The mid price is halfway between the best bid and the best ask. It is the chance Nimb and Polymarket display.
- Depth
- Depth is the dollar value of orders resting close to the mid price. Nimb's own analysis measures it as liquidity within ±2 cents of the mid.
- Slippage
- Slippage is the difference between the price you expected and the average price you actually paid, caused by your order eating through the book.
Polymarket runs a central limit order book: every price on screen comes from real orders placed by other traders. Spread and depth are how you read that book in two numbers, and they are part of market reading because a chance you cannot trade near is a weaker signal.
What does a 4-point spread cost you?
Take a market with a bid of 39 cents and an ask of 43 cents. The mid, the chance you see, is 41%. The spread is 4 points.
| Step | Price | Shares | Dollars |
|---|---|---|---|
| Buy Yes with $100 at the ask | 43¢ | 232.6 | −$100.00 |
| Value at the mid you see | 41¢ | 232.6 | $95.35 |
| Sell straight back at the bid | 39¢ | 232.6 | +$90.70 |
| Round-trip cost | −$9.30 (9.3% of stake) |
Fees are left out to isolate the spread. A round trip loses about 9% of your stake before the event has moved at all. Even if you hold to resolution, paying 43 cents for a 41% chance means you need the event to be more likely than 43%, not 41%, to come out ahead.
The same 4 points matter more at low prices. Buying at 7 cents when the mid is 5% is a 40% premium over the mid; buying at 52 cents when the mid is 50% is 4%.
| Bid / ask | Spread | Round-trip loss on $100 |
|---|---|---|
| 40¢ / 42¢ | 2 pts | $4.76 |
| 39¢ / 43¢ | 4 pts | $9.30 |
| 37¢ / 45¢ | 8 pts | $17.78 |
| 3¢ / 7¢ | 4 pts | $57.14 |
What is depth, and how much can you buy before the price moves?
The spread tells you the cost of the first share; market reading also needs the size behind it. Depth tells you how many shares are available at that price. When your order is larger than the best ask, it fills the next price level, then the next, and your average price rises. Here is an illustrative ask side:
| Ask price | Shares offered | Dollars at this level | Cumulative dollars |
|---|---|---|---|
| 43¢ | 500 | $215 | $215 |
| 44¢ | 1,000 | $440 | $655 |
| 46¢ | 2,000 | $920 | $1,575 |
| Order size | Shares received | Average price | Slippage vs 43¢ |
|---|---|---|---|
| $200 | 465 | 43.0¢ | 0 pts |
| $500 | 1,148 | 43.6¢ | 0.6 pts |
| $1,500 | 3,337 | 45.0¢ | 2.0 pts |
At $1,500 you are buying a 41% chance at an average of 45 cents. On a deep book the same order would barely move the price. That is why a market with a 1-point spread and $500 behind it can be worse for a large order than one with a 3-point spread and $50k behind it.
How does Nimb read the book?
Nimb uses the book in two places.
Selection. A market only reaches the map if its leading outcome's spread is 4 points or less, or the event has at least $10k of depth on undecided outcomes. This is one of four gates described in market selection.
The panel. The foot of the market panel shows "Liquidity in the book", Polymarket's own liquidity figure for the outcome, refreshed every minute. The "Before you trade" box turns it into a sentence:
| Liquidity | What Nimb says | Rule behind it |
|---|---|---|
| Under $5,000 | "Thin order book ($3.2k). A large order will get a worse price than 41%; use a small amount or a limit price." Highlighted. | Below $5k, almost any order above a few hundred dollars moves the price. |
| $5,000 or more | "About $48k sits in the order book, so orders up to around $4.8k should fill close to 41%." | Orders up to about 10% of the book's liquidity. |
The 10% figure is a rule of thumb, not a quote. How the liquidity is spread across price levels matters: $48k sitting 10 points away from the mid does less for you than $5k at the best ask.
Should you use a limit order?
A market order fills now against the best available prices. A limit order sets the worst price you accept and waits in the book if nobody meets it.
| Market order | Limit order | |
|---|---|---|
| Fills | Immediately, if there are sellers | Only when the price reaches your limit; may never fill |
| Price | Ask, plus slippage on large orders | Your limit or better |
| Polymarket fee | Taker fee, where the market charges one | No taker fee while it rests in the book (you are the maker) |
| Best for | Small orders on liquid books; news you want to act on now | Thin books, wide spreads, orders larger than about 10% of liquidity |
On Polymarket every order is technically a limit order; a "market" order is a limit set at a marketable price with a worst-price cap. Nimb's ticket places a market order by default, with the price protected against slippage. At launch the ticket may not offer limit orders; for those, Polymarket's own site does. See the order ticket for how it works.
What can spread and depth not tell you?
- Where the price is going. A deep book can still reprice in seconds when news lands.
- Whether the depth will stay. Market makers pull orders before known events. A book that looks deep at noon can be thin at the moment you need it.
- The full book. Nimb shows one liquidity figure and the mid, not every price level. For the full ladder, open the market on Polymarket.
- Your exact fill. The ticket shows shares and price from the live mid; the final fill depends on the book when your order arrives.
Thin books are one of the Before you trade checks; how to read a market puts them in context with the other five. Definitions are in the glossary.
From reading to execution
Reading the market ends with the book: once it checks out, size your order to it. The order ticket shows the shares you get and the break-even before you confirm, so a thin book shows up as a worse price before you send anything.
Last reviewed 2026-11-07 · Data from Polymarket · Not financial advice · Nimb is not affiliated with Polymarket.