Order book
What is an order book, and why can trade records alone never show it?
In plain words
An order book is the live list of unfilled buy orders (bids) and sell orders (asks) resting at each price, updated tick by tick. A trade occurs only when an incoming order meets a resting one, so the book shows supply and demand before they trade.
Why it matters
Traders read the book to judge how much size sits just above and below the current price, which affects how far a marketable order will move the price. A thin book means small orders cause large moves. Trade records show only what happened where the book was actually hit, never what remained waiting.
In a real week: BTC, week of 3 December 2018
In the week of 3 December 2018, BTC fell 14.79%, spanning a range of 29.7% between its high of 4179.0 on Monday and its low of 3222.0 on Saturday. Dollar volume reached 1.48bn, above its prior 12-week average, and the largest 1-hour move was 7.3% on Friday at 19:00 UTC. These are records of completed trades; the resting orders that absorbed or failed to absorb them are absent.
A common mistake
Treating traded volume as a picture of the order book. Volume shows how much changed hands at prices that traded, not how much remained waiting or how thin the book was when it moved.