Prices, Order Books & Market Data
Szymon Kopyciński · 23 September 2026
1. Prices and the order book
Bid
A price at which someone is willing to buy an instrument.
The highest bid in the market is the best bid. If the best bid for a share is £99.98, someone is willing to buy at £99.98.
Ask / Offer
A price at which someone is willing to sell an instrument.
The lowest ask in the market is the best ask (or best offer). Ask and offer mean the same thing.
Best Bid and Offer / BBO
The highest current bid and lowest current ask. For example:
Best bid: 99.98
Best ask: 100.02
Spread
The difference between the best ask and best bid.
Using the example above:
100.02 - 99.98 = 0.04
so the spread is £0.04.
Tighter spreads usually indicate a more liquid market.
Mid-price / Mid
The midpoint between the best bid and best ask.
$$ \text{Mid} = \frac{\text{Best Bid} + \text{Best Ask}}{2} $$
If the bid is 99.98 and the ask is 100.02, the mid is 100.00.
The mid is useful for analysis, but it is usually not a price at which you can trade.
Microprice
A price estimate that adjusts the mid-price based on the amount of liquidity available at the best bid and best ask.
A common definition is:
$$
\text{Microprice}
\frac{A \cdot Q_b + B \cdot Q_a}{Q_b + Q_a}
$$
where:
- $(B)$ = best bid price
- $(A)$ = best ask price
- $(Q_b)$ = quantity available at the best bid
- $(Q_a)$ = quantity available at the best ask
Unlike the ordinary mid-price, the microprice moves toward the side with less available liquidity.
Microprice is often used in market microstructure and short-horizon trading as a slightly more informative estimate of the market's current fair price than the simple mid.
Last price
The price of the most recent trade.
The last price and the current mid-price often differ.
Tick
A word with several meanings. It may refer to:
- an individual market-data update;
- a minimum price movement;
- informally, a very small market movement.
Tick size
The smallest permitted price increment for an instrument.
If an instrument has a tick size of £0.01, valid prices include £100.00 and £100.01, but not £100.005.
Lot size
The standard or minimum quantity in which an instrument may be traded.
The exact meaning varies between markets.
Order book / Limit Order Book / LOB
The collection of outstanding buy and sell orders for an instrument.
A simplified book might look like:
BUY/BIDS SELL/ASKS
99.98 500 100.02 300
99.97 700 100.03 450
99.96 1200 100.04 800
Orders to buy are called bids. Orders to sell are called asks or offers.
Book level
A distinct price in an order book, with the total quantity resting at that price.
For example:
99.98 × 500
represents one bid level containing 500 shares.
Top of book
The best bid and best ask.
It is the most immediately tradable part of the order book.
Depth
The quantity of orders available at different prices in the order book.
A market with substantial quantity across many price levels has greater depth.
L1 / Level 1 market data
Market data containing basic information: usually the best bid, best ask and last trade.
L2 / Level 2 market data
Market data containing multiple price levels of the order book, aggregated by price.
Instead of seeing only the best bid and ask, you see several levels on both sides.
L3 / Level 3 market data
Order-level data.
Rather than only knowing that 500 shares are available at £99.98, L3 data shows the individual orders that make up those 500 shares. It is also called market-by-order (MBO) data.
Terminology varies between venues and data vendors.
Liquidity
How easily an asset can be bought or sold without substantially moving its price.
A liquid market typically has:
- significant trading activity;
- tight spreads;
- substantial book depth;
- the ability to execute reasonable size without large price impact.
There is no single measure of liquidity: spread, depth, volume and price impact each capture part of it.
Volume
The total quantity traded over a period.
For example, a stock may trade ten million shares in one trading day.
Turnover
The amount of trading activity over a period.
Depending on context, turnover may refer to traded value, traded volume or how frequently a strategy changes its portfolio.
2. Market data
Market data
Information describing activity in financial markets.
Examples include:
- quotes;
- trades;
- order book updates;
- instrument status;
- auction information;
- reference information.
Real-time data
Market data delivered with minimal delay after events occur.
Delayed data
Market data intentionally distributed after a delay.
Reference data
Relatively static information describing financial instruments.
Examples include:
- ticker;
- exchange;
- currency;
- tick size;
- contract expiry;
- ISIN (International Securities Identification Number);
- contract multiplier.
Tick data
Market data recorded at the level of individual events.
OHLC/OHLCV
- OHLC: Open, High, Low, Close.
- OHLCV: Open, High, Low, Close, Volume.
A common representation of prices over a fixed time interval.
Bar / Candle
Aggregated market data over a time interval.
A one-minute bar might contain:
- open;
- high;
- low;
- close;
- volume.
Snapshot
A complete representation of market state at a particular moment.
An order book snapshot contains all current price levels.
Delta / Incremental update
A message describing a change to existing state rather than resending the entire state. Not to be confused with the option Greek.
For example:
Add 200 shares at £100.01.
Incremental messages use far less bandwidth than repeatedly transmitting the entire book.
Sequence number
An identifier attached to each message that increases by exactly one per message.
For example:
1001
1002
1003
1004
If your system receives:
1001
1002
1004
you know that message 1003 is missing.
Gap
A missing section of a message sequence.
Gaps are dangerous because a system can keep running while holding incorrect state.
Dropped message
A message that was transmitted but not successfully received or processed.
Duplicate message
The same event being received or processed more than once.
Out-of-order message
A message arriving after another message that logically occurred later.
For example:
100
102
101
Stale data
Data that is older than the system expects and may no longer reflect the market.
Feed
A stream of market-data messages.
Feed handler
Software that receives, decodes, validates and processes a market-data feed.
Normalisation
Transforming data from multiple external formats into one consistent internal representation.
If ten exchanges describe trades differently, a normalisation layer converts all ten into a common internal Trade object.
Part of Glossary Index · Previous: Markets, Assets & Participants · Next: Orders, Matching & Execution
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