The book

The highest price anyone is currently willing to buy at, and the lowest price anyone is currently willing to sell at.

These are not the price of the instrument. They are the two nearest standing intentions, and there is no trade at all until one side agrees to the other's terms.

The gap between the best bid and the best ask, measured in ticks or currency.

It is the immediate cost of impatience, paid by whoever crosses it. Spread width is the most direct available reading of how liquid an instrument is at that moment.

An instruction to trade at a specified price or better, which rests in the book until it is filled, cancelled, or expires.

A limit order supplies liquidity. It offers other participants the option to trade against it, and it cannot control when, or whether, that option is taken.

An instruction to trade immediately at whatever prices are currently available, consuming resting liquidity until the requested size is filled.

A market order removes liquidity and accepts price uncertainty in exchange for execution certainty. Large ones walk the book, filling at progressively worse prices.

The party to a trade who crossed the spread to get filled, rather than waiting in the book.

Every trade has exactly one aggressor and one passive counterparty. Separating the two is the foundation of all order flow measurement, and the exchange does not label it for you.

A vertical display of resting order quantities at each price above and below the current market.

The ladder shows only what participants have chosen to display. Hidden size, iceberg reserves and orders held off-book by trading systems do not appear until they trade.

The quantity of resting orders available at prices beyond the best bid and offer.

Depth is a snapshot of intent, not a commitment. Orders can be cancelled in microseconds, and in fast markets a thick-looking book can thin out before a market order reaches it.

The capacity of a market to absorb size without moving price much.

Not a single number. It has at least three separable dimensions: how wide the spread is, how much sits at each level, and how quickly the book refills after being hit.

The matching rule used by most futures exchanges: better prices fill first, and among equal prices, the order that arrived earliest fills first.

This is why queue position matters. Two limit orders at the same price are not equivalent if one has been sitting there for a minute and the other for a second.

A large order that displays only a small portion of its true size in the book, replenishing the visible portion each time it fills.

Icebergs are a legitimate, exchange-supported order type. Their signature is a level that keeps refilling after repeated hits, which is one origin of what traders describe as absorption.

The difference between the price expected at the moment of sending an order and the price actually obtained.

It comes from two separate sources that are often conflated: the book moving between decision and arrival, and an order being large enough to consume several levels.

Placing orders with no intention of executing them, to create a misleading impression of supply or demand.

It is a criminal offence in the United States under the anti-spoofing provision of the Dodd-Frank Act, and prohibited in most other regulated markets. It is defined by intent, which is why cases turn on message and cancellation records rather than on the orders alone.