Order Book
A real-time list of outstanding buy and sell orders for a security at various price levels.
What is Order Book?
An order book is an electronic record maintained by an exchange listing all outstanding limit buy orders (bids) and limit sell orders (asks) for a security, organized by price level. The top of the order book — the highest bid and lowest ask — determines the current bid-ask spread. As new orders arrive and existing orders are filled or cancelled, the order book updates in real time. Market makers and high-frequency traders analyze order book data to identify supply and demand imbalances and provide liquidity. Level 2 data, which shows the full depth of the order book, gives sophisticated traders insight into short-term price direction and potential support and resistance zones.
Example
The order book for a stock shows: best bid $50.10 (500 shares), $50.05 (1,200 shares), $50.00 (3,000 shares); best ask $50.15 (400 shares), $50.20 (800 shares), $50.25 (2,500 shares). The bid-ask spread is $0.05. A buyer placing a market order for 500 shares would buy at $50.15. An order for 1,000 shares would buy 400 at $50.15 and 600 at $50.20, moving the price up.
Source: Investopedia — Order Book