Spread and depth answer different questions
The spread measures the distance between the best bid and ask. Depth describes the quantities available at individual prices. A tight spread alone does not mean that a large purchase fits entirely at the first level. Time, venue and order side matter too.
Our educational snapshot has a best bid of USD 100.00 and best ask of USD 100.10: a USD 0.10 spread per unit. Only the selling side is shown below. This is a fictional order book, not real orders or a screenshot of a Student Wyckoff Pro feature.
| Ask price | Available units | Cumulative quantity |
|---|---|---|
| 100.10 | 20 | 20 |
| 100.20 | 30 | 50 |
| 100.40 | 50 | 100 |
Compare purchases of 10 and 60 units
Assume no competing participants, new orders or cancellations, and a purchase that consumes the displayed offers in sequence. Ten units fit at the first level: 10 × 100.10 = USD 1001, giving an average price of 100.10.
Sixty units require 20 at 100.10, then 30 at 100.20 and another 10 at 100.40. Cost is 2002 + 3006 + 1004 = USD 6012. Average price is 6012 / 60 = USD 100.20. The starting snapshot is identical; only the requested quantity changes.
| Quantity | Cost, USD | Average, USD/unit | Deviation from ask, USD/unit | Total deviation, USD |
|---|---|---|---|---|
| 10 | 1001.00 | 100.10 | 0.00 | 0.00 |
| 60 | 6012.00 | 100.20 | 0.10 | 6.00 |
(20 × 100.10 + 30 × 100.20 + 10 × 100.40) / 60 = 100.20 USD
Slippage needs an explicit benchmark
Our benchmark is the initial best ask, 100.10, rather than the midpoint or last transaction. For 60 units the average is USD 0.10 worse per unit, or USD 6 for the purchase. For 10 units deviation from this benchmark is zero. That does not mean there is no spread or no other cost.
Commission is set to zero in this example because we are comparing executions only. The ask already reflects the chosen side of the spread; do not deduct the spread again from the cost of those executions. A complete trade result also needs a sale and its costs, covered in the companion article.
A live book does not have to wait for your order
Real offers can disappear or change while an instruction travels to an execution venue. Other orders may arrive first; some quantity may fill differently or remain unfilled. This educational sequence does not model queues, hidden liquidity, routing or every venue’s rules.
Only 100 offered units appear in the table. Beyond that size the model lacks data; it cannot invent another level or promise a price. A large daily trading volume likewise does not guarantee the depth needed at a particular second.
Read the example without turning it into a promise
Name the side, quantity and benchmark first. Then calculate available levels and the weighted average. Record which book changes were excluded. A closed-bar chart has a different purpose: it helps study price history, but cannot guarantee the quantity available for a future transaction.
- Do not replace the average for an entire purchase with the first level’s best price.
- Measure slippage against one clearly identified benchmark.
- Do not present a static snapshot as a guarantee of future execution.
- Separate historical chart analysis from submitting an order through an intermediary.
Primary sources
Sources explain the mechanics and limitations; the editorial examples use invented numbers rather than market quotations.
Your next practical step
Student Wyckoff Pro helps you study closed bars and save your analysis. It does not execute trades; access and the Windows connection are explained in the guide.
Open the first-chart instructions ↗