Order book
Definition · Level 0 · Market basics
Keep reading with Tradecraft
Without an account, you can read three definitions every 30 days. Tradecraft explains all 738 terms and strategies, with the lessons that teach them, flashcards that come back before you forget, quizzes and a payoff lab.
The live list of resting limit orders in a security: bids ranked from the highest price down, offers from the lowest up, with the size at each level. How much size it holds is its depth.
Example
Offers 2,000 @ 12.50 · 3,000 @ 12.52 · 5,000 @ 12.55: a 10,000-share market buy clears all three levels.
Where Tradecraft teaches it
Level 0 · Market basics, in the lesson “Reading the quote”: Bid, offer, spread, size and depth, and what they tell you about the real cost of trading.
Related terms
- ADVAverage daily volume: the typical number of shares traded per day over a lookback window (often 20 or 30 days), the yardstick for how big an order…
- Bid / offerThe highest price a buyer is currently showing, and the lowest price a seller is asking (also called the ask).
- Bid-ask spreadAsk minus bid: the price of immediacy. Crossing it costs half of it versus mid each way, and a round trip costs all of it.
- Last pricePrice of the most recent trade (the print).
- Level 2Depth of book: several price levels on each side with the size at each, often by venue or participant, versus top-of-book data that shows only the…
- LiquidityHow easily size can be bought or sold quickly without moving the price: tight spreads, deep books and heavy trading mean plenty; wide spreads and…