A 2,000-share purchase can cost substantially more than ten times a 200-share purchase when the best offer is thin. An order book describes the displayed prices and quantities against which an aggressive order may trade. Building on market-state reconstruction, this lesson calculates a static book walk, contrasts price-time with proportional allocation, and identifies what a snapshot cannot tell a simulator about its own fill.
Learning objectives. By the end of this note you should be able to:
- sort and aggregate bid and ask levels;
- compute the average price of a hypothetical book walk;
- distinguish marginal price from average execution price;
- explain queue priority under stated matching assumptions;
- identify the missing information in a snapshot-based fill model.
In this lesson
- The supply schedule facing a buyer
- Walking cost is conditional, not a forecast
- Priority determines who fills
- A compact implementation
- Depth as a feature and a constraint
Before you start
The full lesson, with worked examples and exercise solutions, is for members.
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