Order book

Structure of the book

Each side of the book is a sorted list of price levels. On the bid side the highest price is first; on the ask side the lowest price is first. At each level the book holds either an aggregated displayed size (market by price, MBP) or the individual orders in queue order (market by order, MBO). The gap between the first bid and the first ask is the spread.

A trade happens when an incoming order crosses the spread: a market buy, or a limit buy priced at or above the best ask, executes against the resting ask. The resting side is passive; the crossing side is the aggressor. The footprint records that execution by price and side; the book records what was left afterwards.

• Book updates arrive as adds, cancels, modifies and fills. A level's size changing does not say which of these happened unless the feed carries the events.
• Displayed size can be a fraction of the true quantity when iceberg orders are in use.
• Book depth is a separate dataset from trades; a trade archive cannot reconstruct the book.

Reading changes rather than snapshots

• Order flow imbalance (OFI) sums the changes in best bid and best ask size over a window, treating an increase in bid size or a decrease in ask size as buying pressure and the reverse as selling pressure. It is a measure of book change, not of trades.
• Stacked levels on one side describe a shelf the market would need to trade through; whether it holds is observed later, not inferred.
• A heatmap records the book's history so that walls, pulls and refills become patterns instead of a flicker.
• Feed gaps produce unknown states; a level that is not reported is not a level with zero size.

In Senzoukria

The book is drawn three ways on the Heatmap page: as the colour bands of the heatmap over time, as the DOM ladder and DOM profile at the right, and as the "DOM ladder" overlay on the chart with "Bid — resting buy orders" and "Ask — resting sell orders" coloured separately. The "Low floor (lots)" setting and the DOM profile's "Minimum size" hide small resting levels so that walls stand alone; the latter's hint states that above zero the profile stops showing the book and starts showing the walls.

The liquidity tracker panel needs the order-by-order feed (MBO): its empty state says it reads each order's life, not just the visible totals. Rithmic and Databento provide the CME book by entitlement; Bybit provides recorded crypto book history; broker tick history contains transactions only and no book.

Common mistakes

• Treating displayed depth as available liquidity. Orders can be pulled before price arrives.
• Merging one venue's trades with another venue's book as if they were one matched history.
• Calling every vanished level spoofing. The DOM reading guide notes cancellation is observable, intent is not.
• Assuming an MBP feed shows queue position. Only MBO carries individual orders.