CLOB

Order Depth

The raw view of each individual order, and it's place within the Central Limit Order Book (CLOB). Usually, but not always, ranked by price and then time. All the following CLOB examples are based off this book data.

Price Depth

An Order Depth book, where multiple orders at a given price/side are aggregated together. Depending on the Venue, order count may also be provided.

Spread

This is not Bid/Offer spread, but the liquidity available at a pre-defined price offset from top of book. Usually issued in snapshot form, since the entire view changes with each change of top of book price in the base OrderDepth book.

Amount

Presents VWAP prices for pre-defined volume rungs. Because the view aggregates multiple resting orders, a single aggressing order may well result in multiple partial fills, since you are effectively trading through the base Order Depth book.

Full Amount

The prices at which pre-defined volumes may be filled in a single execution.

Bank

Order-Based

The raw liquidity offered by the Bank to the Customer. Typically presented as a single quote. The Customer may trade through this 'book', provided they submit orders in strict sequence from best price to worst. No individual piece of offered liquidity can be traded more than once.

Limit orders - The client provides the price associated with a requested quantity. This will either be the price of a given rung/side, or it will be a VWAP across multiple rungs. Typically the client will obtain a single fill for each individual request.

Market orders - No price is specified, the Bank will compute this (VWAP or rung) on the Customer's behalf, based on the provided quantity.

Volume Ladder

A VWAP representation of the above, with pre-configured volume rungs. Could be considered an equivalent to a CLOB Full Amount book,

For a given quote a Customer may typically hit a single rung only, although some banks do allow trading through the ladder, to a maximum total of the largest rung.