The order book: bid, ask, spread

All of order flow starts from a single object: the order book. It is the list of all the limit orders resting on a contract, sorted by price. On one side, the buyers waiting to buy cheaper; on the other, the sellers waiting to sell higher. Between the two, a small empty gap. Price lives in that gap.

The book is symmetrical, and its vocabulary fits into three words. Once you have these three words, the DOM, the heatmap and the footprint become different ways of looking at the same object.