A real-time list on an exchange of all buy and sell orders, arranged by price. The gap between the highest price buyers will pay (bids) and the lowest price sellers will accept (asks) is the spread. The order book lets you see the market's current supply, demand, and liquidity depth.

The gap between your expected price and your actual fill price. When your order size exceeds the orders resting at the best price, you fill at worse prices, creating slippage. The thinner the liquidity, the larger the order, and the faster the market, the worse it usually is.