I recently got into buying some low volume stocks (mostly at NYSE) and noticed that sometimes when I buy/sell I get slightly different execution cost then when I hit the sell/buy button. I've figured that this might be because of low volume of stock available given the shown cost.
Is it possible to see how much volume is available at each price for Bid/Ask, for example like this on Steam Market? This data must be seen by the exchange so they should be available somewhere right?
Any decent broker will provide a size quote (volume) along with the NBBO price quote as seen in your link. However, there may be additional shares available if there are hidden orders at those prices (a hidden order masks the true size of an order).
Getting a different fill price depends on several things. The most obvious is that if you're placing a market order whose size is greater than available volume, you'll be filled at different prices.
If you place an AON limit price whose size is modestly greater than the available volume at your price, sometimes the counterparty will give you those shares as well as a modest amount at a slightly better price for the sake of completing their side of the trade.
Also, maker/taker fees can affect the fill price modestly.
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