Do you also have this feeling — every time you buy small-cap coins, you start to get unlucky in the short term? Watching large funds act as market makers, yet you can’t bring yourself to swallow that $1,000+ sell order? And what about the MM guys in the circle? When you talk to them, they all say they didn’t lose that day; in fact, they made quite a bit. Why is there such a big difference? The secret is actually hidden in the market maker’s order book.

The real battlefield for market makers is not those candlestick charts. Their game is called the Limit Order Book (LOB).

Let’s start with a few key concepts. Depth, simply put, is how many orders can be placed at each price level. The step size is the minimum price movement — in the world of high-frequency trading, this determines whether your queuing strategy can be profitable. Then there’s price improvement, which occurs when your quote eliminates the current best bid or ask spread, creating liquidity for the market. This is called price improvement.

For example. BTC’s current bid is 100,000, and the ask is 110,000. If you dare to bid at 101,000, you narrow the spread and create value for the entire market. It’s that simple.

To truly understand this game, the most direct way is to watch a real order book. For a certain trading pair, the minimum step size is 0.001. Currently, the liquidity depth at this order book is only around $1,000 — a tiny figure. When the amount of capital and order complexity increase, you’ll understand why some people make a fortune while others get stuck with a loss right after buying.