Depth and slippage

Depth is how much size is resting close to the current price. Slippage is what you lose when your order is bigger than the best level: your fill walks up the book, and the average price is worse than the one you saw.

A worked example

Using the ladder below, a market buy of 3 BTC takes 1.2 BTC at 100,000 and 1.8 BTC at 100,010. The average fill is 100,006, slippage of six dollars a coin on the first price. A 10 BTC order would walk much further and pay much more.

Why thin books move further

Depth varies by coin, venue and time of day. Weekends and the quiet hours between the major sessions are thinner, so the same volume moves price more. When you see a sharp move on low volume, it is often a thin book rather than a strong opinion.

Depth is a snapshot

Resting orders can vanish in an instant, so a deep book is an invitation, not a promise. Good execution tools measure depth a set distance from the mid-price, such as 1%, and watch how quickly it refills after a large trade.