L1 and L2 Order Books

Created on 2022-12-26T20:47:25-06:00

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Bid price: highest price someone was willing to pay

Bid size: number of orders at the bid price

Ask/offer price: lowest price someone was willing to sell

Ask/offer size: number of orders at the ask price

Last price: last price of a transaction

Last size: amount of "things" traded in the last transaction

Level 1 books

{Bid,ask} {price,size} and last {price,size}.

Level 2 books

Level 2 and beyond books are basically the same as level 1. However there are more bid/ask prices and sizes provided for a given moment. A level 2 book might show the ten highest buy and ten lowest ask offers and sizes.