Price-ordered record of all resting limit orders at each exchange — the canonical electronic-market data structure. Best bid and best ask quote the inside spread S = a - b; depth at successive price levels gives the marginal cost of larger orders. Order-book imbalance (ρ = (Q_b - Q_a)/(Q_b + Q_a)) is a leading indicator of short-term price moves (HFT signal). Hidden/iceberg orders and pegged orders are visible only on execution. Cont-Stoikov-Talreja queueing models the book as a multi-class M/M/1 system.