What the order book shows
An order book is a live list of interest to buy and sell at different prices. It helps show where available quantity sits, but it does not turn every visible level into a promise that the quantity will fill. Prices and quantities can change as orders are added, matched, or canceled.
Why multiple price levels matter
If the quantity at the first available ask is smaller than the requested order, the rest may be matched at the next eligible ask, then the next one. This is why order size can affect both the number of shares received and the average execution price.
The visible top level is useful context, but it is only one part of the execution picture. A full-order estimate needs to consider the quantity available at each level that the order may reach.
Example: a hypothetical ask side
| Ask price | Available quantity |
|---|---|
| 0.61 | 100 shares @ 0.61 |
| 0.62 | 250 shares @ 0.62 |
| 0.63 | 500 shares @ 0.63 |
A small order may fill mostly at 0.61. A larger order can use the 0.62 and 0.63 levels after the first 100 shares are no longer available at 0.61.
The displayed price is not always the execution price of your full order. In this example, the order size determines how far through the visible depth the match may travel.
Average execution price
When a quantity is matched across more than one price level, the average execution price summarizes the total cost divided by the total matched shares. It can therefore be different from the first ask shown in the book.
Spread, price impact, and applicable fees describe different parts of the outcome. Keeping them separate makes it easier to compare an amount-specific estimate with the confirmed result after execution.
Liquidity and order size
Liquidity is not just a property of the market in general; it is also related to the size and price conditions of a particular order. A quantity that looks small relative to one level may be large relative to the total depth close to the best price.
As conditions change, the book can show a different set of bids, asks, and quantities. An order-book review is most useful when it captures the amount being considered and the time at which the comparison was made.
TickBetter and the order book
TickBetter is being designed to translate the order book into an amount-specific execution comparison: expected shares, average price, spread, price impact, visible liquidity, and the status of any partial fill.
The purpose is to make the path from visible levels to a verifiable order result easier to follow. TickBetter is currently in development, and the examples on this page are illustrative.