An Order Book is an electronic ledger recording all outstanding buy and sell orders for a security, organised by price and time.
Visual Structure
| Bids (Buy Orders) | Asks (Sell Orders) | ||
|---|---|---|---|
| Quantity | Price | Price | Quantity |
| 15,000 | 100.30p | 100.60p | 3,000 |
| 10,000 | 100.40p | 100.70p | 7,500 |
| 5,000 | 100.50p | 100.60p | 3,000 |
Bids descend from best (highest) price down. Asks ascend from best (lowest) price up. The spread (100.60p - 100.50p = 0.10p) separates the two sides.
Price-Time Priority Matching
- Price Priority: Best-priced orders execute first
- Time Priority: At same price, earliest order executes first
- Automatic Matching: System continuously matches compatible orders
- Real-time Updates: Book updates in milliseconds
LSE Transparency
| Visibility | Description |
|---|---|
| Order book depth | Top 5 bid/ask levels with quantities |
| Update speed | Millisecond-level real-time |
| Trade publication | Immediate post-execution |
| Hidden volume | Some order types undisplayed |
Market Depth Comparison
| Book Type | Characteristics | Liquidity Signal |
|---|---|---|
| Deep Book | Many orders, tight increments | High liquidity |
| Shallow Book | Few orders, large gaps | Low liquidity |
Large resting orders may indicate support (bid side) or resistance (ask side) levels.
Used on: SETS (continuous), SETSqx auctions, global equity exchanges