Best Bid Best Ask

The best bid and best ask (also called the NBBO: National Best Bid and Offer, though in CME futures there is a single central book) are the top of the order book: the most competitive resting limit orders on each side.

• Best Bid: the highest price at which a passive buyer is willing to purchase. A market sell order will fill here.
• Best Ask: the lowest price at which a passive seller is willing to sell. A market buy order will fill here.

The spread

The difference between the best ask and best bid is the bid-ask spread. For ES and NQ, the spread is almost always exactly 1 tick:

Instrument	Tick size	Typical spread
ES	0.25 pts	0.25 pts ($12.50)
NQ	0.25 pts	0.25 pts ($5.00)
MES	0.25 pts	0.25 pts ($1.25)
MNQ	0.25 pts	0.25 pts ($0.50)

This 1-tick spread is the cost of immediacy: the price you pay for using a market order rather than waiting with a limit order. On less liquid instruments, spreads are wider.

Best bid/ask and price discovery

The best bid and ask are constantly changing as orders are placed, cancelled, and filled. When the best ask is consumed by aggressive buyers, price moves up to the next ask level: which becomes the new best ask. This tick-by-tick competition between buyers and sellers is the mechanism of price discovery.

Best bid/ask size as a signal

The size at the best bid and ask: visible on the DOM: is closely watched:

• Large best bid relative to best ask: passive buyers are more aggressive at the top of book. Near-term upward pressure.
• Large best ask relative to best bid: passive sellers dominate the top of book. Near-term downward pressure.
• Sizes evenly matched: balanced market, no short-term directional edge from book structure alone.

As always, this signal is most reliable when confirmed by actual T&S flow showing which side is being consumed.