It's trade type instead of orderbook. OKCoin provide full historical trades, so no data is missed.
Ah. Indeed, I have noticed a peculiar characteristic in the OKcoin transaction log: there appears to be many small transactions scattered throughout the actual bid/ask spread, rather than at the ends of the spread (as one would expect from legitimate buys or sells).
[ click on image for a full-size version ]
Here each dot is a trade; the area is roughly proportional to the amount of BTC involved.
The effective bid/ask spread for each exchange can be inferred as the upper and lower envelope of the dots. One explanation for those OKCoin trades in the middle of the spread could be a robot that posts a buy order in that gap and a matching sell order, or vice versa, in close succession.
