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?