An order book is a data structure maintained by a trading venue that contains active buy and sell orders for a particular asset.

Buy orders form the bid side, while sell orders form the ask side. Orders are generally organized by price and quantity.

How matching works

When a new order crosses an existing opposite-side order, the trading system can match them and execute a trade. This is the basis of order matching on exchange markets.

If a limit order cannot execute immediately, it generally remains in the order book until it is filled, canceled, or expires according to the venue’s rules.

What the order book shows

  • best bid;
  • best ask;
  • order quantities;
  • spread;
  • volume at different price levels;
  • market depth.

The order book is dynamic: orders are continuously added, canceled, and executed. Its state can therefore change substantially over a short period of time.