Section 02 · 4 entries
The Book
Bid, ask, depth and the empty side.
Four entries on the venue’s arithmetic — the two queues, the rule that orders them, what rests behind the front price, and what is left when one side empties.
Price in one column, quantity in the next. The two answer different questions and were kept apart long before either was electronic.
Photo: Matvei / PexelsThe entries
- 02 · 1
Bid and ask
Two queues facing each other. The gap between the best of each is the spread, and it is the cost of immediacy.
- 02 · 2
Matching rules
Price first, then time. Simple to state, and it determines who trades.
- 02 · 3
Depth
What sits behind the best price, and why size moves it.
- 02 · 4
The empty side
What happens when nobody is willing to take the other end.