Limit Order Book
A limit order book is the visible (and sometimes hidden) queue of bids and offers at discrete prices that constitutes the tradable supply and demand of a continuous electronic market.
Definition
The LOB stores resting limit orders by price-time (or pro-rata) priority. The best bid/offer, depth, imbalance, and hidden/iceberg volume are the state variables execution algos condition on.
Why it matters
Impact, queue position, and make/take fees are book objects. A mid-price signal that ignores the book is not an execution model.
Case
A one-tick book with 50 lots on the bid and 2 on the offer is not “fair mid.” Crossing the offer pays the spread plus any refill that never comes.
How to read it
Watch displayed vs hidden size, replenishment, and whether the venue is lit or mid. Snapshot mid is not the book.