The Limit Order Book
The mechanism through which buyers and sellers actually meet.
Almost every modern electronic market is a limit order book — a running ledger of everyone's standing intentions to trade.
Two kinds of order
A limit order says: "I'll buy 10 units, but only at $99 or better." It joins a queue, sorted by price first and arrival time second, and waits.
A market order says: "I'll buy 10 units, now, at whatever's available." It crosses the spread and consumes the best resting limit orders on the other side immediately.
The gap between the highest bid and the lowest ask is the bid-ask spread — the price of demanding immediacy.
Depth is what matters
The book isn't a single price; it's a ladder. There's some size resting at the best bid, more at one tick worse, more below that. A market order bigger than the size at the best level "walks the book," filling progressively deeper — and worse — levels.
This is why size is expensive, and it's the mechanical source of temporary Market Impact. It's also why a realistic execution simulator has to model the ladder rather than a single mid-price: if you only model the mid, you've assumed away the exact cost you're trying to minimize.
In cryptocurrency markets the book is generally thinner than in major equities, which makes all of this bite harder.