  Commonly used limit order book attributes are empirically considered based on
NASDAQ ITCH data. It is shown that some of them have the properties drastically
different from the ones assumed in many market dynamics study. Because of this
difference we propose to make a transition from "Statistical" type of order
book study (typical for academics) to "Dynamical" type of study (typical for
market practitioners). Based on market data analysis we conclude, that most of
market dynamics information is contained in attributes with spikes (e.g.
executed trades flow $I=dv/dt$), there is no any "stationary case" on the
market and typical market dynamics is a "fast excitation and then slow
relaxation" type of behavior with a wide distribution of excitation frequencies
and relaxation times. A computer code, providing full depth order book
information and recently executed trades is available from authors [1].
