A limit order book records resting interest for a particular venue or matching system. Your screen shows what your feed and platform deliver, which may be aggregated, limited in depth or delayed. It is not a complete list of every order and intention in the market.

Read Price, Quantity and Coverage

The best bid is the highest displayed buy price and the best ask the lowest displayed sell price in the stated view. Their difference is the spread. At each row, distinguish quantity from number of orders or participants.

A marketable order can match several price levels when the best quote lacks sufficient quantity. A buy limit at a marketable price can also take liquidity; “limit” does not always mean resting in the book.

CME's Market by Order explanation describes anonymous order-level data and full price-level depth for that feed. Another feed or platform may provide a different view, so identical symbols do not establish identical displayed books.

A Displayed Imbalance Is an Observation

More displayed bids than offers does not prove the next price move will be upward. Orders can be cancelled or replaced and opposing marketable orders can consume them. A large quantity at a level is not guaranteed support or resistance.

Hidden or reserve interest can limit what is visible. An order disappearing is not by itself proof of deceptive intent; cancellation can have many legitimate reasons.

Queue Position Matters

Under price-time priority, earlier orders at the same price can be ahead of yours. More size ahead may mean you wait longer for a fill. Other matching algorithms allocate differently, so check the product rules rather than assuming a universal queue.

Trades report completed transactions; resting orders show current indicated interest. Do not mix a past volume-profile node with liquidity available now. Footprint and aggressor classifications also depend on the feed and method used.

Make It Useful to Your Workflow

Check data entitlement, update rate, row aggregation and reconnect behaviour. In simulation, compare the displayed queue with the assumptions used for fills. A simulator may not reproduce it.

The book can help explain an execution, but having it on screen does not establish an edge. See fill-quality measurement for a way to evaluate the actual result.

Risk Disclaimer: Trading involves substantial risk of loss. Past performance is not indicative of future results. See our full risk disclaimer.