We explain what a limit order book is and demonstrate how it works with practical examples. We also discuss bid-ask spread, order book depth, slippage, order qualifiers, and execution priority in relation to liquidity.
0:00 Introduction
0:57 What does a limit order book look like?
2:16 Top of the book
2:27 Bid-ask spread
3:02 Price-time priority
4:54 Price-size priority
5:43 List format
7:24 Midprice
7:45 Summary of Part I
8:46 Day order vs good 'til canceled (GTC)
9:54 Limit order book dynamics
13:30 Order book depth
16:38 Slippage
17:58 Summary of Part II
See also our detailed post on this topic:
https://www.initialreturn.com/limit-o...
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