An order book is used to pool, compare and match the volumes and prices of buy and sell orders for a particular security. Thus, in auction-based trading, the order book supports the price determination procedure.

Market orders, which are to be executed at the best available price, are given first priority in the order book. The remaining orders are sorted and listed, with the bid prices in ascending order and the ask prices in descending order.

Nowadays, most order books are computer-based.