Spread and Slippage: Why Entry Costs More

A chart usually shows the last trade, not the price at which you can buy your whole desired size now. A market buy needs available sell offers. If the nearest level has too little quantity, the order can fill at several higher prices.

In an order book, the bid is the best offered buying price and the ask is the best offered selling price. Their difference is the spread. Hypothetically, a 10.00 USDT bid and 10.02 ask produce a 0.02 USDT spread, or 0.2% relative to the bid. A different denominator gives a slightly different percentage, so state the method.

Slippage is the difference between expected and actual execution price. It can be unfavorable or favorable. Causes include available liquidity and price movement during execution.

A tight spread does not guarantee enough depth. The best ask may have very little quantity. Your order size determines how much liquidity you need at several nearby levels.

Hypothetical book: 50 coins offered at 10.02 USDT, another 100 at 10.04 and another 100 at 10.08. A market buy of 200 coins in an unchanged book takes 50 at the first level, 100 at the second and 50 at the third.

The cost is 50 × 10.02 + 100 × 10.04 + 50 × 10.08 = 2,009 USDT. Average price is 10.045 USDT. Compared with expecting all 200 at the best ask of 10.02, the difference is 5 USDT before fees. Compared with a last trade at 10.00, the total difference is 9 USDT; that includes both the initial distance to the ask and fills at further levels.

The example assumes stationary orders. Real participants change and cancel orders. Displayed depth is not a promise it will remain until your order executes.

A limit buy controls the maximum price: it can fill at the limit or better. It may also remain unfilled or fill partially. A limit that crosses current sell offers can execute immediately; “limit order” does not automatically mean a maker fee.

Recheck liquidity during a sharp move. A narrow spread before the event does not guarantee the same execution afterward: orders may be withdrawn or filled by others. Inspect available size across relevant levels for your quantity, not just the best quote. If risk can no longer be assessed, skipping is more consistent than entering from an outdated picture.

Get a reason to check execution before entering

In this routine, JustScreener monitors a chosen price while you assess the available order size on the exchange.

• Set a pair and a price of interest in price alerts.
• After a notification, open the order book on the venue where you intend to trade. Check the best ask and the next levels needed for your order size.
• Calculate the average fill and costs as in the 200-coin example. If the resulting entry is unacceptable, reconsider the size or skip the event.

You do not need to wait continuously at your screen for the chosen price. Reaching it does not mean your entire order can fill there: price monitoring does not replace an order-book depth check.

Create an account, configure a price alert and prepare your own execution calculation in advance.

Daily turnover does not replace current order-book depth. Separate these inputs in your risk calculation:

• Expected entry and invalidation price.
• Entry and exit fees under your account’s terms.
• An allowance for unfavorable execution, especially the exit.
• The risk of a limit order not filling completely.

Read the liquidity guide. Pages such as the BTC market page provide context; check the order book and actual fills on your exchange. A screener does not guarantee the price shown in a notification remains available.