Limit Order Book
A limit order book (LOB) is a data structure used in financial markets to record and manage buy and sell orders for securities, such as stocks or cryptocurrencies, at specified price levels. It aggregates all pending limit orders, organizing them by price and time priority to facilitate efficient matching and price discovery. The LOB provides a real-time view of market depth, showing the supply and demand at various price points.
Developers should learn about limit order books when building or working with trading platforms, algorithmic trading systems, or financial data analysis tools, as it is fundamental to understanding market microstructure and order execution. It is essential for implementing features like order matching engines, market data feeds, and backtesting simulations in high-frequency trading environments.