Order Book

Order Book - An electronic list (or “book”) of buy and sell limit orders for a given currency pair, organized by price level. The order book shows market depth: all outstanding bids and asks at various prices. Exchanges and ECNs maintain this real-time book to match orders. An order book helps a robot gauge liquidity and potential price impact. In trading APIs, Level II or market depth feeds provide this data. Essentially, the book records market interest and is continuously updated.