Order Book & Slippage

Where your market order really fills

taker seat · Deep book

slippage2.0bplevels3cost$391

Ask side (offset from mid, %) — how deep your order eats

level size ($K)

+0.01%

800/800

+0.03%

944/944

+0.04%

256/1114

+0.07%

1314

+0.09%

1551

+0.11%

1830

+0.13%

2160

+0.15%

2548

+0.17%

3007

+0.18%

3548

+0.21%

4187

+0.23%

4941

+0.24%

5830

+0.27%

6879

+0.29%

8118

+0.30%

9579

Filled 2.0 bp off mid, walking 3 levels

Your slippage compensates the resting maker's adverse-selection risk — switch seats and carry it yourself.

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Want the why? The mechanism, in full: