TL;DR
The list of all outstanding limit orders in a market, organized by price level. The bid side shows buy orders (descending price), and the ask side shows sell orders (ascending price).
Order Book
The list of all outstanding limit orders in a market, organized by price level. The bid side shows buy orders (descending price), and the ask side shows sell orders (ascending price).
Why it matters for interviews
The order book is the core data structure of electronic markets. Understanding book dynamics (order flow, queue position, market impact) is fundamental for algorithmic trading and market-making strategies.
Definition and Mathematical Foundation
The list of all outstanding limit orders in a market, organized by price level. The bid side shows buy orders (descending price), and the ask side shows sell orders (ascending price).
Application in Quantitative Finance
The order book is the core data structure of electronic markets. Understanding book dynamics (order flow, queue position, market impact) is fundamental for algorithmic trading and market-making strategies.
Related Terms
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