Order book

An order book is the real-time list of all active buy and sell orders for a given asset, sorted by price. The bid side holds buyers (highest price at the top), the ask side holds sellers (lowest price at the top), and the gap between them is the bid-ask spread. Depth at each price level — how much volume sits there — tells you how much size you can trade before the price moves; this is what causes slippage. Most modern exchanges broadcast the book as a continuous stream of updates (L2 market data) rather than full snapshots.