Walking up the book with size

Question

The offer side of the book looks like this, with the best bid at $29.98$ (so the mid is $30.00$ ):

200 shares  @ 30.02
300 shares  @ 30.05
500 shares  @ 30.10

You send a market order to buy 600 shares.

What average price do you pay, and what is your slippage versus mid per share and in total?

Accepted Answer

A single share, or any quantity up to 200, would fill at the touch, 30.02, costing the 2-cent half-spread. But 600 shares exhaust the top level and walk up the book: - 200 shares at 30.02 = \6{,}004 - 300 shares at 30.05 = \9{,}015 - 100 shares at 30.10 = \3{,}010 Total paid = \18{,}029 for 600 shares, an average price of 30.0483. Slippage versus the 30.00 mid is 30.0483 - 30.00 = 4.83 cents per share, more than double the 2-cent half-spread you would have paid at the touch. In dollars, the total cost of immediacy is 0.0483 	imes 600 \approx \29, versus the \12 it would have been if the whol…

Walking up the book with size

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