ORDER BOOK INFORMATION

 


Detailed order book information, showing the average volume of buy and sell orders, the depth (number of orders) awaiting execution in the order book. The average size simply divides the volume of each order by depth. In this example we can see the average size of buy orders only slightly outweighs the sell orders, but the actual number of buy orders is substantially higher. Finally the VWAP, the Volume Weighted Average Price, calculates the average price, in the buy instance of 51 orders, and in the sell instance 39 orders.

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