How an order book works
An order book is the live list of all outstanding buy and sell orders for an instrument, organised by price. Bids (buyers) stack on one side, asks (sellers) on the other. The highest bid and the lowest ask meet at the top of the book, and the gap between them is the spread. Every market order you send is matched against resting orders here, so the book is the real map of supply and demand at this instant.
Worked example
The best bid is 100.00 for 5 units and the best ask is 100.02 for 3 units. You send a market buy for 5 units. You take the 3 at 100.02, then the next 2 at the following ask, say 100.03. Your average fill is worse than the screen’s top price; that gap is slippage, and it grows when the book is thin relative to your order size.
Reading depth
Depth of market shows how much size rests at each level beyond the top of book. A deep book absorbs large orders with little price impact; a thin one moves on small orders. Reading depth tells you whether your intended size is safe to send as a market order or should be worked with limits. On Volity, MT5 exposes depth of market on major instruments for exactly this read.
Why it matters
The order book is where your fill price is actually decided, not the last-traded number on the chart. Understanding it explains slippage, spread, and why large orders move price. Size your orders to the visible liquidity, and use limit orders when depth is thin. Related: limit order and market order.
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