Book walk

The order book is:

Side	Price	Size
Bid	100.0	500
Bid	99.9	300
Ask	100.1	200
Ask	100.2	400

A market buy for 600 arrives. What is the average fill price, and the slippage versus the mid price?

Hint

Fill the best ask first, then the next level.

Solution

Fills: 200 at 100.1 and 400 at 100.2.

$\text{avg} = \frac{200 \cdot 100.1 + 400 \cdot 100.2}{600} = 100.1\overline{6}$

The mid is $(100.0 + 100.1)/2 = 100.05$, so slippage is about $0.117$.

Answer

Average fill $\approx 100.167$, slippage $\approx 0.117$.