Order book

The live, price-ranked list of all resting buy and sell orders for a security, showing how many shares are available at each level on each side.

Example

250 shares offered at 47.95, 400 at 48.02 and 350 at 48.10 - so a 1,000-share market order fills at an average of 48.0305.

The quoted price describes only the first few shares. For any order large relative to the resting depth, the price you see is not the price you get.

Limit order — An instruction to buy or sell only at a stated price or better. It joins the order book and waits, and may never execute.
Market order — An instruction to buy or sell immediately at whatever prices the order book currently offers, working through successive price levels until the full size is filled.
Bid-ask spread — The gap between the highest price a buyer will pay and the lowest a seller will accept. A cost paid on every round trip.
Market maker — A participant that continuously quotes both a buying and a selling price in a security, standing ready to trade with either side and earning the spread between the two.

Many venues, no closing bell, no reference price — The quote is for the next unit, not for your position, and there is no official price anywhere. What valuation models exist for this class are contested in a way that a bond discount or an equity multiple simply is not. (12 min)
A continuous auction: what the quote is, and what it is not — The price is what the marginal buyer and the marginal seller agreed a moment ago. It is a fact about two people, and it is not a valuation. (12 min)