Expand description
A limit order book is a record of outstanding limit orders maintained by the security specialist who works at the exchange. The book is organized by Limit level and contains the Limit and volume of each limit order. The specialist is responsible for maintaining a fair and orderly market in the security and uses the book to help determine the best Limit at which to execute orders.
The limit order book is a key component of the market microstructure and is used by traders to help make trading decisions. The book is also used by the exchange to help determine the best Limit at which to execute orders. The book is updated in real-time as orders are placed and executed.
Structs§
- Cancellation
Report - Cancellation report
- Execution
- Execution
- Level
- Limit level represents Price level and list of orders in FIFO order
- Limit
Order - Limit Order
- Limits
- Limits (i.e. Price): 21.0453 to orders at that price
- Oid
- Order Id
- Order
- Order
- Order
Book - Limit Order Book Trades are made when highest bid Limit is greater than or equal to the lowest ask Limit (spread is crossed) If order cannot be filled immediately, it is added to the book
- Price
- Price
- Spread
- Spread
- Timestamp
- Timestamp
- Trade
- Trade
- Volume
- Volume
Enums§
- Cancel
Order Error - Cancel order error
- Cancellation
Status - Cancellation status
- Order
Side - Order side
- Order
Type - Order type
- Place
Order Error - Place order error
- TryFrom
Order Error