Table of Contents

Order Book

Description

The order book (a.k.a. market depth) is information about the current buy and sell orders for a specific security, organized by price levels. In StockSharp, the order book provides data on demand and supply, allowing for real-time market analysis.

Structure

The Order Book contains two lists of orders:

  • Buy orders, sorted by descending price - Bids.
  • Sell orders, sorted by ascending price - Asks.

Each order includes a price and volume.

Usage

Order book data is used for:

  • Identifying price levels with maximum order volumes, which may indicate potential support or resistance levels.
  • Assessing market liquidity for a security.
  • Developing trading strategies based on analysis of changes in the order book.

Data Retrieval

In StockSharp, subscribing to order book data and receiving updates is done through the corresponding API methods.