π Quant & Trading
Order Book Microstructure
The study of how orders interact to form prices. The order book is the real-time queue of buy and sell orders at different price levels. Understanding it explains slippage, spread, and why large orders move prices β the mechanics underneath every trade Signal Forge generates.
2
Minutes
6
Concepts
+45
XP
1
Order Book Anatomy
ASKS (sell orders): BIDS (buy orders):
$101.50 | 50 BTC $100.50 | 30 BTC
$101.00 | 120 BTC β best ask $100.00 | 200 BTC β best bid
$99.50 | 80 BTC
Spread = $101.00 - $100.00 = $1.00 (0.1%)
Mid-price = $100.50
The best bid and best ask define the "top of book." Everything else is the depth.