Definition. The bid/ask spread is the gap between the best ask price and best bid price, shown in basis points (1 bp = 0.01%) of the mid-price (the midpoint between them). This value is the average spread over the bucket, weighted by how long each level lasted.

Interpretation. A tighter spread means a more liquid market that's cheaper to trade. Widening spreads often signal stress or thinning liquidity, while tight spreads suit larger or faster execution.

Technical. Time-weighted average of (best ask - best bid) / mid_price, in basis points, over the resolution bucket.