Order book
The live list of resting buy and sell orders — it decides what price your size actually gets.
The book has two sides: bids (buyers, below the market) and asks (sellers, above it). The best bid and best ask define the quoted price; everything behind them is depth, and depth is what a market order eats through.
For arbitrage this is the difference between a number and a trade. A 0.5% spread on a book where only $800 sits within 0.1% of the top is a $800 opportunity, not a $20 000 one. Walking the levels before entry is the single most useful habit in this strategy.
Depth is also asymmetric and unstable: one venue can be deep on the bid and thin on the ask, and both sides thin out during exactly the volatility that creates the spread. Arbitrex shows live depth next to each route so the size decision happens before the order.