It's the aggregate of all the orders in the market. Everything anyone is about to buy or sell, all of it. Stocks, bonds, gold, anything. If I understood him, that information exists, at any given moment, but there's no aggregator. It exists, constantly, but is unknowable. If someone were able to aggregate that, the market would cease to be real. [...] Why? [...] Because the market *is* the inability to aggregate the order flow at any given moment.