Limit Order Aggregation

Limit order aggregation is the process of combining individual limit orders at the same price level into a single total volume figure within the order book. This provides traders with a clear view of the total supply or demand at any given price point.

By aggregating these orders, platforms make it easier for participants to assess support and resistance levels. In high-frequency trading, systems monitor the changes in these aggregated levels to detect shifts in sentiment or institutional interest.

This data is essential for constructing order book heatmaps, which visualize how liquidity is positioned across the price spectrum. Aggregation simplifies the complexity of the order book, allowing for faster decision-making and more effective trend analysis.