Overview
An order book is the list of orders (manual or electronic) that a trading venue (in particular stock exchanges) uses to record the interest of buyers and sellers in a particular financial instrument. A matching engine uses the book to determine which orders can be fully or partially executed.
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In securities trading
In securities trading, an order book contains the list of buy orders and the list of sell orders. For each entry it must keep among others, some means of identifying the party (even if this identification is obscured, as in a dark pool), the number of securities and the price that the buyer or seller are bidding/asking for the particular security.
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Price levels
When several orders contain the same price, they are referred to as being on a price level. Practically, this means that if a bid comes at that price level, all the sell orders on that price level could potentially fulfill that.
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Crossed book
When the order book is part of a matching engine, orders are matched as the interest of buyers and sellers can be satisfied. When there are orders where the bid price is equal or higher than the lowest ask, those orders can be immediately fulfilled and will not be part of the open orders book. If this situation remains, due to an error or a condition of the market, the order book is said to be crossed.
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Top of the book
The highest bid and the lowest ask are referred to as the top of the book. They are interesting because they signal the prevalent market and the bid and ask price that would be needed to get an order fulfilled. The difference between the highest bid and the lowest ask is called the bid–ask spread.
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The source notesEvidence & further reading1 source
- Order book — Wikipedia, revision 1343328613 Wikipedia contributors · Reference source · accessed 2026-09-22
Selected and reformatted from Order book, by its contributors, under CC BY-SA 4.0. Revision 1343328613. Sections and formatting have been shortened; the linked revision provides the full context and contributor history. This reference text remains under the same license. Its additional citation links are imported from that revision and have not been independently checked here.