Order book

An order book is a real-time list of outstanding buy and sell orders for an asset, organized by price level, that a matching engine uses to pair trades.

The order book stacks bids and asks by price, and the gap between the best bid and best ask is the spread, while the volume resting at each level is the depth. Deeper books absorb larger orders with less slippage. Centralized exchanges run order books off-chain, whereas AMM DEXs replace them with pool curves. Order-book depth complements our aggregated spot and OHLCV feeds when a caller needs to reason about how much size a market can absorb.