An order book is a list of orders available to be matched maintained for each security trading through an order driven (matched bargain) system, or a hybrid system that has order driven features.
A typical order book consists of limit orders that do not match against each other, like this:
| Buy | Sell | ||
| Quantity | Price | Price | Quantity |
| 10,000 | 99 | 102 | 15,000 |
| 14,000 | 98 | 105 | 9,000 |
| 5,500 | 95 | 106 | 3,500 |
| 3,000 | 90 | 110 | 4,000 |
| 5,000 | 80 | 115 | 3,000 |
Given the order book above the security has a mid-price of 100.5, a bid price of 99 and an offer price of 102. Market orders would match immediately against what is available in the order book: for example, a market buy for 20,000 would match against the two cheapest sells: i.e. 15,000 at 102 and 5,000 at 105.
Similarly a limit sell for 5,000 at 98 would match immediately against what is available at 99p, the price at which it matches being determined by market rules. A limit sell at 100 would be added to the order book to await an order that matches it.