An order book is a real-time ledger of resting buy and sell orders for a security, typically split into bids (buy interest) and asks (sell interest). Each entry shows a price level and the accumulated quantity waiting to be executed at that level. The best bid is the highest price someone is willing to pay, and the best ask is the lowest price someone is willing to accept. The spread between these best prices is a basic measure of immediate liquidity.
Market participants view the order book to gauge liquidity and potential price movement. Deeper depth near the current price indicates more liquidity and, all else equal, smaller price moves for a given order size. Thinner depth can mean that sizable orders have a larger impact on price. Time priority affects which orders are filled first at the same price, and orders can be added, modified, or canceled in real time, causing the book to change rapidly. Different data feeds expose varying levels of detail: Level 1 data shows the top bid and ask, while Level 2 (market depth) provides additional price levels and sizes from multiple venues.
Resting orders reside in the book until executed or canceled; market orders execute against visible liquidity in the book. The order book is a central element of market microstructure and interacts with order types such as limit orders and market orders, helping to reveal how supply and demand are distributed at different prices.
During trading, the order book shows a best bid of 100.00 with 200 shares and a best ask of 100.05 with 150 shares, along with several deeper levels.
Bid-Ask Spread · Limit Order · Level II Market Data · Market Depth · Liquidity · Time and Sales