Order Book

The order book is a real-time display of all pending buy and sell orders for a security, organized by price level.

Structure

Bid side (buyers)

Listed from highest to lowest price, showing the quantity wanted at each level.

Ask side (sellers)

Listed from lowest to highest price, showing the quantity available at each level.

Key concepts

• Depth: The total volume of orders at each price level
• Top of book: The best bid and best ask (also called the NBBO—National Best Bid and Offer)
• Order book imbalance: More volume on one side can signal short-term price direction

Level I vs. Level II data

• Level I: Shows only the best bid and ask (what most retail investors see)
• Level II: Shows multiple levels of bids and asks (reveals depth)

Limitations

• Only shows limit orders—market orders are not visible until executed
• Iceberg orders hide large quantities, showing only a small portion
• High-frequency traders may place and cancel orders rapidly (spoofing is illegal)
• Dark pool orders don't appear in the public order book