Research

Order size changes the price when the displayed size runs out

Written by WiT Markets EditorialReview Editorially reviewedLast reviewed

A one-lot trade and a trade larger than the size on the quote are different objects. The average price is the size taken at each level. This page will not invent a deeper book.

Diagram for Order size changes the price when the displayed size runs out
Editorial diagram for this note. It is not a data release and it does not plot a market price.

risk1 min readmulti asset

Key points

  • The average execution price uses only the levels you typed.
  • If the order is larger than that size, the remainder is marked insufficient. It is not filled at the last price.
  • A displayed book is a snapshot you supplied, not a live feed.

What is going on

Walk a buy from the cheapest offer upward, taking size until the order is filled or the levels end. The cost divided by the size taken is the average price of what could be filled. A sell walks from the highest bid downward. Three or more levels are required in the explorer so a single quote is not mistaken for a book. FINRA describes how order types interact with available prices. The levels in the tool are yours.

Why it matters

Market impact is this walk, plus any withdrawal of size as you trade. A large order in a name with a famous average volume can still walk through a thin moment. Average daily volume is not the size available at one price now.

What to watch

Write the side, the size, and the levels. If the tool says the modelled book is insufficient, do not assume the rest would have traded at the last line.

Risks

A real book changes while you read it. Hidden size and cancelled size are outside a table you typed. This is not a live depth feed.

Related

Sources and review

Written by: WiT Markets Editorial. Writes and structures WiT Markets pages. Separates a sourced fact from a cell that is Not confirmed.

Review: Editorially reviewed. This is not a qualified specialist review and it is not a legal sign-off.

Last reviewed: . Next review due . The date is an editorial pass. It is not a live check of every third-party fee.

Regulatory and official sources

  • FINRA — checked 13 October 2026

Other sources

Methodology. Editorial policy. Corrections. Report an error.

Displayed size is the book you typed | WiT Markets