L1 and L2 Order Books
Created on 2022-12-26T20:47:25-06:00
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.