ETH: Spot Orderbook Slippage by Order Size
Shown as its 3 Oct – 1 Nov 2026 sample; the latest readings and full history are included with Pro.
Cost of filling market orders of $10k, $100k, $1M and $10M on ETH spot books, in basis points of the mid price, from our own live order books of Binance, Bybit, Coinbase, Kraken and OKX.
Why use it. Spreads show what the smallest trade pays. This shows how fast the cost climbs with size, which is what matters when moving real money. Resting orders can be cancelled at any moment, and some are placed to be seen and pulled before they trade (spoofing): this is visible liquidity, not intent. How to read it. Each line is one order size; one basis point is 0.01%. Lines further apart mean the book thins out quickly beyond the top. A line drops out where no book could fill that size inside its complete range for at least half of the period, which is common for small coins and $10M. The summary value is the $1M line.
Calculation. Every second each order size is walked through every book from the best price, level by level: the average fill price of a buy (against the asks) and a sell (against the bids) versus the mid, in basis points, averaged over the book's seconds in which the order fills inside the side's complete range. Each line is the median across books of the mean of the two sides. Kept from 9 November 2026; the $1M order was already kept from 20 October 2026 (see the Orderbook Price Impact chart). Source: our own live order books of the public spot markets of Binance, Bybit, Coinbase, Kraken and OKX (each coin's USDT market on Binance, Bybit and OKX and its US-dollar market on Coinbase and Kraken). Coinbase, Kraken and OKX since 23 October 2026. Each book is kept from the venue's public feeds: Binance's from a REST snapshot of its best 5,000 or 1,000 levels a side, brought up to date with every 100-millisecond change and the venue's update sequence checked on each; Bybit's from its 1,000-level book stream (a snapshot, then numbered changes); Coinbase's from its public book stream, the whole book as a snapshot and then every change of a price level, with every message numbered and the numbers checked; Kraken's from its 1,000-level book stream, every change carrying a checksum of the best ten levels a side that is checked on each; OKX's from its 400-level book stream (a snapshot, then changes every 100 milliseconds, each naming the one before; perpetual swap sizes are contracts, counted at their face value in coins). A book that misses a change, loses its connection or breaks its sequence is rebuilt from a fresh snapshot, and its seconds out of sync are left out: gaps are never filled. Every second each book is cut into bands by distance from its own mid price, in US dollars (price x size; USDT and USDC count at face value); a period's value is the mean of the book's seconds in it, summed across venues, and a venue counts in a period when its book was sampled for at least half of it (of its part since our collection of the book began; the open hour and day are partials, as far as they went). When our sampler is short of capacity it passes over the books less often than once a second, evenly through the period, and a book is measured against the passes it made. How far a book is complete depends on the coin's price and tick size. Binance's snapshot covers from about 0.15% either side of the price (the busiest perpetuals) to beyond 10% (smaller coins); beyond it the book holds the levels seen to change since it was last synchronised, which are exact, but orders resting unchanged since then are missing, and refresh snapshots every 3 to 30 minutes fill them in. Bybit shows its 1,000 best levels a side and nothing beyond. Kraken shows its 1,000 best spot levels a side and nothing beyond. OKX shows its 400 best levels a side and nothing beyond. Coinbase's stream carries the whole book, kept to 11% either side of the price and complete there. Bands beyond a venue's complete reach are therefore lower bounds, most of all for the largest coins, whose books are densest. History starts when this collection began on 20 October 2026; no earlier values are reconstructed.