Understand market depth and make better-informed decisions. While classic price data shows what has already been traded, order book data shows what could be traded right now.
This gives traders insight into supply and demand, available liquidity and the current market structure – central to futures trading, day trading and order-flow trading.
The order book contains all currently open buy and sell orders for a financial instrument, sorted by price level. This makes it possible to see where market participants are willing to buy or sell.
Regular price data only shows already executed transactions. Order book data additionally provides a deeper insight into market activity.
Every market participant can place buy or sell orders. The market moves constantly because orders are added, cancelled or executed.
| Buy side (bid) | Sell side (ask) |
|---|---|
| 100 units at 99.90 € | 150 units at 100.10 € |
| 250 units at 99.80 € | 300 units at 100.20 € |
| 500 units at 99.70 € | 450 units at 100.30 € |
Significantly more information than a classic chart.
All orders from market participants who want to buy.
All orders from market participants who want to sell.
Shares or contracts offered at each price level.
Available liquidity across multiple price levels.
Which orders are newly placed, moved or cancelled.
Market depth describes the number of available buy and sell orders at different price levels. The greater the depth:
Level 1 shows the last price, bid, ask and volume – sufficient for many investors.
Level 2 additionally shows multiple price levels, the complete market depth, larger orders and liquidity distribution – the basis of professional order book analysis (also called “DOM” / Depth of Market).
Xetra, Deutsche Börse, NASDAQ, NYSE, Euronext.
Eurex, CME, CBOT, COMEX, NYMEX.
Also available for currency markets depending on the liquidity provider.
High liquidity and transparent market depth – popular for DAX, Euro Bund, E-Mini S&P 500 and Nasdaq futures.
Analysis of buy pressure, sell pressure, volume clusters, liquidity and market imbalances.
Helps with market monitoring, trade timing, risk management and entries and exits.
Large orders – substantial buy orders, large sell blocks, notable liquidity zones – can point to important price zones. They are often regarded as potential support or resistance levels, but are no guarantee of future price movements.
Slippage is the difference between the expected and the actually executed price. Order book data helps estimate it better – the lower the liquidity, the greater the slippage can be. Especially relevant for futures, small-caps and volatile markets.
“Liquidity changes constantly – order book data delivers its greatest value only with current real-time data.”
Automated systems also use order book information – for liquidity analysis, trading algorithms, smart order routing, market monitoring and risk models. The additional information layer opens up new analysis possibilities.
Some providers supply historical order book data – for backtesting, research, strategy development and market analysis. They are significantly more extensive than classic price data.
Many beginners misinterpret order book data. An order book should always be viewed together with price action, volume and the market context.
Professional platforms offer extensive tools for order book analysis:
Long-term investors, on the other hand, often do not need it.
The order book shows all open buy and sell orders for an instrument, sorted by price level – with quantity and available liquidity at each price level.
Level 1 shows only the best bid/ask and last price. Level 2 shows the complete market depth across multiple price levels – the basis of professional order book analysis.
Especially order-flow trading, day trading and scalping – strategies that analyse supply, demand and liquidity distribution in real time.
Slippage is the difference between the expected and the actually executed price. Order book data shows available liquidity and helps estimate slippage in advance.
By displaying buy and sell interest, liquidity and market depth, market structure can be better understood – and decisions can be made on a more informed basis.
Especially in futures trading, day trading and order-flow trading, order book data is one of the most important tools in professional market analysis.