A live limit order book: see depth on both sides, send market orders that walk the book and track where your own limit order waits in the queue.
| Bids | Price | Asks |
|---|---|---|
| 100.11 | ||
| 100.10 | 450 | |
| 100.09 | 451 | |
| 100.08 | 450 | |
| 100.07 | 450 | |
| 100.06 | 450 | |
| 100.05 | 450 | |
| 100.04 | 450 | |
| 100.03take 100 | 450 | |
| 100.02take 450 | 450 | |
| 100.01take 450 | 450 | |
| Mid 100.005 · spread 1 tick (1¢) | ||
| 450 | 100.00 | |
| 449 | 99.99 | |
| 450 | 99.98 | |
| 450 | 99.97 | |
| 450 | 99.96 | |
| 450 | 99.95 | |
| 450 | 99.94 | |
| 450 | 99.93 | |
| 450 | 99.92 | |
| 450 | 99.91 | |
Point at an ask row to preview a market buy that takes everything up to it (a bid row: a sell). Click to send.
No market order sent yet. Send one from the ticket or click the ladder.
No resting order. Switch the ticket to Limit and click a ladder row.
No fills yet. Market orders fill at once; resting limit orders fill when the crowd trades into them.
A limit order book is the list of all resting buy and sell orders for an asset, sorted by price. Buyers post bids below the market, sellers post asks above it, and the gap between the best bid and the best ask is the spread. Orders at the same price are filled in the order they arrived, which is called price–time priority. A market order trades immediately against the best resting orders and, if it is larger than the quantity at the best price, keeps eating into worse prices. This lab lets you build that picture by hand: send orders, watch the book react and see what each trade really cost you.
It is the rule that decides who trades first. Orders with a better price always come first: the highest bid and the lowest ask. Among orders at the same price, the one that arrived earliest is filled first. That is why a trader who joins a busy price level late can wait a long time, or never be filled at all, even though their price is as good as everyone else's in that queue.
A market order takes whatever liquidity is available, best price first. If you buy 500 shares and only 200 are offered at the best ask, the next 300 are bought at the next price levels up. Your average price is therefore worse than the best ask, and the larger the order relative to the depth of the book, the further it walks and the worse the average becomes.
Slippage compares what you actually paid with a benchmark, usually the mid price before you traded: slippage = average fill price − mid for a buy, and mid − average fill price for a sell. Half the spread is the minimum you pay on any market order; anything beyond that comes from walking the book. In the lab, try the same order size on a deep book and on a thin one and compare the two numbers.
Not necessarily. A limit order avoids paying the spread, but it may never be filled, and it tends to be filled exactly when the price is moving against you, because someone better informed chose to trade with it. The real comparison is the expected cost including the risk of missing the trade, which the queue part of the lab lets you explore.