• Ask/Offer side: the side accumulated the sell pending orders.
  • Bid side: the side accumulated the buy pending orders.
  • Ask/Offer(sometimes the best ask/offer price): the lowest price at the ask side of the order book.
  • Bid: the highest price at the bid side of the order book
  • Mid quote (or mid-price): (ask + bid) / 2
  • Bid-ask spread (bps): (ask - bid) / (mid quote) * 10000
  • Bid-ask spread (tick): (ask - bid) / (tick size)
  • Mid-quote return: log(mid quote at t)- log(mid quote at t-1)
  • Depth: People usually refer it to the accumulated quantity of the pending orders in the book. E.g. five-level depth of a book in the ask side = sum(quote volume at the ask + quote volume at the second best ask +  ... + quote volume at the fifth best ask ). A book is said to be thick, if it has a high depth on either side. A book is said to be imbalanced, if the depth on one side is significantly higher than the other side.  
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