Limit Order Book (LOB)
Market Microstructure glossary · Limit Order Book Mechanics & Order Routing Logic
Definition
The aggregated record of all outstanding limit orders at each price level on both bid and ask sides of a venue. The central data structure of an order-driven market.
Limit Order Book (LOB) in plain English
The limit order book is the market's master list of every "I'll buy at this price" and "I'll sell at this price" order that's currently waiting, sorted by price. The buy side (bids) and sell side (asks) face each other, and a trade happens whenever a buyer's price and a seller's price meet in the middle. Picture a giant bulletin board split in two: one side has notes from people wanting to buy at various prices, the other from people wanting to sell — and the whole market runs off matching them up. It's the beating heart of how prices are actually set on modern exchanges.
Also called: LOB
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Practice Limit Order Book (LOB)
Which order type generally seeks execution at the best currently available prices?
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