Trading & Markets

Order Book

The record of resting limit orders at each price level on both sides of a market.

Most exchanges match by price-time priority: best price first, and among equal prices, earliest arrival first.

Queue position is a real asset. First in the queue at the bid fills on small trades and can cancel if the market turns; last in the queue fills mainly when the price is about to go through you, which is adverse selection. Cancelling and re-entering forfeits your place, so adjusting a quote has a genuine cost.

Reading it. Depth indicates resting liquidity - useful for estimating impact - but it is cancellable intent, not commitment, so it predicts direction only weakly.

Full guide

How the Order Book Works

Limit orders, market orders, price-time priority and what the book tells you. The market microstructure interviewers expect you to know.

Related terms

Practise this

Put it into practice

Knowing the definition is not the same as spotting where it applies under time pressure. Work the question bank free.

Start practising free

Browse the full quant interview glossary