The order book and the spread
The price is not a number the exchange decides. It is the last point where two people disagreed enough to trade.
Before order types, before charts, before anything else — this. Almost every confusing thing about execution becomes obvious once you can picture the book.
Two queues facing each other
An exchange keeps a list of every order waiting to be filled. Buyers say what they will pay; sellers say what they will accept. Both lists are sorted so the most competitive prices are nearest the middle.
Bids are the buyers. The highest bid is the most anyone is currently willing to pay.
Asks — also called offers — are the sellers. The lowest ask is the least anyone is currently willing to accept.
Nothing trades while the best bid is below the best ask, because nobody is prepared to cross. A trade happens the moment somebody accepts the other side's price, and that trade becomes "the price" you see quoted everywhere.
The quoted price is history
It is the price of the last trade that happened. What you can actually get right now is the best bid (if selling) or the best ask (if buying), and those are two different numbers.
The spread is a cost, and it is yours
The gap between the best bid and the best ask is the spread. Buy at the ask and sell immediately at the bid, and you lose the spread without the price having moved at all.
On a large, heavily traded pair the spread is tiny — a rounding error on a single trade. On a thin pair it can be a per cent or more, which means a position starts meaningfully underwater and has to move that far just to break even. The spread is not charged as a fee and does not appear on any statement. It is simply the difference between what things cost and what they are worth to you a second later.
Depth: how much is actually there
Best prices only apply to the amount sitting at them. Below and above are more orders at worse prices. The total is called depth, and it decides what happens when your order is bigger than the top of the book.
Suppose the best ask is 68,060 for 1.4 coins, then 68,090 for 4.8, then 68,120 for 2.0. If you buy five coins at market, you take all of the first, most of the second, and your average price is worse than 68,060 — because 68,060 was the price of the first 1.4 coins, not of five.
That difference is slippage. It is not a fee, not a malfunction and not anybody cheating you. It is what the book was holding.
Thin books are dangerous in the direction you care about
Depth evaporates exactly when everybody wants the same side. The book you inspected calmly is not the book that will be there during a fall, which is when your stop-loss is most likely to fire.
Makers and takers
A maker places an order that waits in the book, adding depth. A taker places an order that executes immediately against what is already there, removing it.
Most exchanges charge takers more than makers, and some pay makers a small rebate, because a book with more resting orders is a better product. This is worth knowing for one practical reason: a limit order that waits is usually cheaper than a market order that does not, and that difference compounds across many trades.
What the book does not show
It shows orders currently resting. It does not show intent. A large order can be cancelled a millisecond before you reach it, and automated systems place and pull orders constantly — a wall of buying that looks like conviction may exist only to be withdrawn.
It also shows only this venue. The same asset trades on many exchanges at once, and prices are held roughly together by arbitrage rather than by any rule. Automated systems buy where it is cheaper and sell where it is dearer, which is a real service and is also a business that competes with nobody reading this.
Pools work differently
Decentralised exchanges usually have no book at all — a formula prices the trade against a pool. Same idea (your size versus what is available), different mechanism, described in why the price moves like that.