Order book

An order book is a business's list of open, unshipped, customer orders, normally time-phased and valued at actual individual order prices, that may include margin and profitability analysis.

The term may also refer to the order book utilized in trading to maintain the outstanding orders.

Order book (trading)

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 fulfilled i.e. what trades can be made.

Order book in securities trading

In securities trading an order book contains the list of interested buyers and the list of interested sellers. 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 shares and the price that the buyer or seller are bidding/asking for the particular security.

Price levels

When several orders contain the same price, they are referred as a price level, meaning that if, say, a bid comes at that price level, all the orders on that price level could potentially fulfill that.

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.