Order Book
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An Order Book is a market data structure that maintains bid orders and ask orders for price discovery through order matching.
- AKA: Limit Order Book, Central Limit Order Book, CLOB.
- Context:
- It can typically display Order Book Depth through price levels containing order quantities.
- It can typically facilitate Price Discovery by matching buy orders with sell orders at equilibrium prices.
- It can typically update Order Book State through real-time order flow processing.
- It can typically maintain Order Priority using price-time priority rules.
- It can typically experience Order Book Slippage when market orders consume multiple price levels.
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- It can often enable Market Making Activity through limit order placement at various price levels.
- It can often reveal Market Sentiment through order imbalance analysis.
- It can often support Algorithmic Trading through order book data feeds.
- It can often indicate Support Levels and Resistance Levels through order clustering.
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- It can range from being a Shallow Order Book to being a Deep Order Book, depending on its liquidity depth.
- It can range from being a Stable Order Book to being a Volatile Order Book, depending on its order flow dynamics.
- It can range from being a Transparent Order Book to being an Opaque Order Book, depending on its information disclosure level.
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- It can integrate with Matching Engines for order execution.
- It can connect to Market Data Systems for data distribution.
- It can interface with Risk Management Systems for pre-trade checks.
- It can communicate with Settlement Systems for trade confirmation.
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- Example(s):
- Exchange Order Books, such as:
- Cryptocurrency Exchange Order Books, such as:
- Stock Exchange Order Books, such as:
- Forex Order Books, such as:
- Specialized Order Books, such as:
- ...
- Exchange Order Books, such as:
- Counter-Example(s):
- Trade Tape, which records executed trades rather than pending orders.
- Market Depth Chart, which visualizes order book data but doesn't maintain order state.
- Price Chart, which displays historical price movements without order details.
- See: Market Maker, Automated Trading System (ATS), Price Discovery, Market Microstructure, Order Matching Engine.