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Quantitative Finance · Glossaire

Qu'est-ce que « Limit order book » ?

Definition 1.3 Microstructure and Execution · Chapitre 1 — The Limit Order Book

A limit order book is the set of resting limit orders of one instrument on one venue, organised by side and by price level; within a level, by priority. Its best bid btb_t and best ask ata_t are the highest resting buy price and the lowest resting sell price; QtbQ^b_t and QtaQ^a_t are the displayed quantities at them.

A limit order book at level 3. Each box is a resting order, its width its size; within a price level the oldest order is at the left. The best bid is 100.00 and the best ask 100.01, one tick apart. A new bid at 100.00 joins the back of its level; a market buy consumes the best ask from the front.
Figure 1.1. A limit order book at level 3. Each box is a resting order, its width its size; within a price level the oldest order is at the left. The best bid is 100.00 and the best ask 100.01, one tick apart. A new bid at 100.00 joins the back of its level; a market buy consumes the best ask from the front.
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