Bid/Ask and Slippage
Why did my order fill at a different price? Compare market and limit orders. See how quantity and available depth change the result.
What this page teaches
The idea: The last traded price (LTP) is what someone paid a moment ago. Your order fills against the prices on offer now. These can be different.
Words to know
- Bid and ask
- the best price to sell and the best price to buy right now.
- Depth
- how much is on offer at each price.
- Slippage
- the gap between the price you expected and the price you got.
- Market and limit order
- a market order takes what is on offer. A limit order waits for your price.
What you do
Send a buy order of different sizes. Try it as a market order, then as a limit order.
What to look for
A big order can use up the cheapest offers. Then it fills at a higher average price.
Guided path
Step 5 of 8 - Execution
This step answers: Why can an order fill away from LTP?
Before you start: Distinguish the best bid and ask from a last traded price.
WORKED EXAMPLE
The short answer, with an example
Answer. A market order buys from the cheapest offer first, then the next one. LTP is only the last trade. The next price can be higher.
Worked example. Sellers offer 10 units at Rs 100, 15 at Rs 101 and 50 at Rs 103. Buying 40 units fills at an average of Rs 101.50.
What this example cannot tell you. This order book is fixed for practice. It cannot show live offers or how a real order would fill.
Now you try. Change the order to a limit at Rs 101. How many units fill, and how many wait?
What you can see
Walk an example order through bid/ask levels and inspect spread, partial fills and slippage. Change the inputs and see what changes.
Try the scenario
Market X-Ray
Market X-Ray: Bid/Ask and Slippage
Choose a scenario, change one assumption and read the visible result.
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Next step
Expiry and settlement
What stays with the example: Earlier contract context remains optional. Order direction and teaching quantity describe this next example.
Next question: What remains when an option reaches expiry?
Learn the underlying concept
Use the lesson cards below for definitions and the References for current sourced rules.
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