Reading order book depth before you fire
The spread you see is the price of the first lot. What you get is the average price of every lot you have to eat.
Every scanner quotes the top of book, because that is the only number that is unambiguous. It is also the number you will get for the smallest possible order and no other.
Size against the book, not against the quote. Walk the levels on the leg you are taking and find where your notional actually fills: on a liquid perp that might cost a basis point, on a thin alt the third level can be half a percent away. A 0.4% spread on a book that is 0.3% deep at your size is not a 0.4% trade.
Depth is also asymmetric. A route can be perfectly fillable in one direction and unusable in the other, because the bid side of one venue is stacked and the ask side is not. Reversing the legs of a "too tight" route sometimes turns it into the tradable one.
And depth is not static. During the move that creates the spread, the book thins out first and refills after — the widest print often coincides with the worst liquidity. That is the moment the number looks best and the fill is worst.
Arbitrex shows live depth next to each row so the sizing decision happens before the order, not in the fill report.