I still haven't quite grasped the concept of order book. In fact I still have a few questions like the one in the title.

I understand that in a market, at any given time, there is a list of pending orders called limit orders that state at what price each user is willing to sell/buy, and that this list is called order book. The highest price at which users are willing to buy is called bid price, the lowest price at which users are willing to sell is called ask price.

Also, I understand that the this graph (link: 1) is called a depth graph and is kind of a visual representation of the order book.

The y-values represent the cumulative amount that the traders are willing to buy/sell for each price and the x-values are the price.

Suppose the sell side of the order book looks like this (available shares in parentheses):

  • $ 1.00 (5)

  • $ 1.01 (20)

  • $ 1.03 (50)

  • $ 1.05 (100)

If I want to buy 5 shares, I pay $5.00. If I want to buy 10 shares then I have to buy 5 at $1.00 and 5 at $1.01 for a total of $10.05 and an average cost of $1.005.

And the same would happen with selling. So...

Does the price depend on the order size?

If this is correct in theory, does this happen in reality? And on what scale? If I go on a platform such as Oanda, FXCM, Interactive Brokers will I have to worry about this or are all the trades (of all sizes) carried out at the ask or bid price?

3 Answers 3


Let's start by saying that there are no hidden orders or inside quotes and that the order book is as you displayed it. If a quote is taken out via execution, price moves to the next best price in the order book.

  • If you place a market order to buy 1,000 shares, you'll get filled with 500 at $1.00 and 500 at $1.01 as you specified.

  • If it's a limit order at $1.00, you'll get 500 shares and the rest of your order will be completely filled only if someone comes in with more shares to sell at $1.00

  • If it's a AON limit order at $1.00 (All Or None), you'll get nothing.

Your order will be filled based on the qualifications attached to it.

If there's an inside quote between the bid and ask, it's possible that you may get a better fill (but there are none in this example).

Possibly TMI but with option combo orders, you can get fills far away from NBBO but that's immaterial to you because you're placing a net order.

  • For the first bullet point: is the "current"/"last" price then $1.01 or $1.005?
    – glglgl
    Commented Nov 22, 2019 at 9:25
  • The last price would be $1.01 because that was the second purchase made to fill the market order (first 500 bought at $1.00). $1.005 would be the purchaser's average cost. The current price would be the best bid and best ask remaining after the order was filled. Commented Nov 22, 2019 at 13:25
  • Thanks for clarifying! That last line went right over my head though.
    – benvigano
    Commented Nov 24, 2019 at 21:07
  • LOL. Sorry about that. Suppose you want to buy a $100/105 call vertical spread for a limit price of $2.50. NBBO quotes are: The $100 call is 3.35x3.50 and $105 call is 1.00x1.15. The expectation is that your combo would be filled at (+ 3.50 - 1.00) because that's where the market is and that's likely. But you could just as well be filled at (+4.00 - 1.50) for the same net of $2.50. Trades far away from NBBO happen occasionally. Commented Nov 24, 2019 at 21:38

Realistically speaking, an individual does not have to worry about order size impacting price as their order size will be insignificant relative to the market. However, institutional investors, financial institutions and banks do have to worry about their order size impacting price.

When executing large trades, some traders may need to consider spreading the trade in smaller trades over a few trades so as to not attract a "large order premium". The flip side of that strategy is that, if for example selling in a downturn, you expose yourself to more market risk as the price of the security may fall during the days over which you are trying to sell.


Yes, this is correct: you can only buy what other people are offering to sell. In fact, an order book actually has two sides, one containing a list of offers to sell, each with a price and an amount, and the other containing a list of offers to buy, also each with a price and an amount. When a buy offer and a sell offer match in price, either by being equal or the buy price being higher than the sell price, a trade will occur for the lesser of the two amounts of units. If you place a buy offer for a larger number of shares than the lowest sell offer includes, the remainder of your offer will be matched against the next-lowest sell offer and so on, until either you have bought all of the units that you requested or there are no more sell offers that match your price.

  • Are you sure it is always at the lesser amount? I always thought it is the price which is first in the order book. If there is a Bid in the OB for $4 and I place an Ask for $4.1, it is as if my Ask didn't contain a price and it goes for $4. OTOH, if there is an Ask for $4, and I place a Bid for $3.9, it is as if my Bid didn't contain a price and the $4 counts again. Besides, the current price os not the mid-point, but it is the price of the last transaction.
    – glglgl
    Commented Nov 22, 2019 at 9:23
  • @glglgl I mean that the lesser number of shares ("amount of units") being bid or asked will be traded, as noone can be forced to buy or sell more units than they intended. Commented Dec 4, 2019 at 2:50

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