Why this number matters
Price changes happen at the matching engine: how far a market order pushes the price depends on how thick the resting orders on the other side are. The same million dollars of selling might move a deep major pair by a few basis points and punch several percent through a thin one.
That explains two things this site says repeatedly:
- Why the “whale dumping” narrative usually fails. Anyone genuinely trying to sell size is the person who least wants the price to collapse — which is why large trades often go through OTC desks and never touch the public book at all. See are whales really dumping.
- Why altcoins fall harder. Not because the sellers are more aggressive, but because there are fewer buyers to absorb them. Switch the pair above to a smaller asset, run the same amount, and you'll see the order-of-magnitude difference directly. See why altcoins fall harder.
The method (open and checkable)
- Fetch the current order book for that pair, up to a fixed number of levels.
- Take the midpoint of best bid and best ask as the mid price.
- Walk the book level by level on the chosen side, accumulating quantity and value until the amount is spent.
- Average fill = total value ÷ total quantity; slippage = how far that average sits from mid.
- Separately: starting at mid, compute how much value must be consumed to move the price by ±1%.
Everything runs in your browser and the amount you type never leaves your device.
Order books change every second and this reads only a limited number of levels; real execution is also affected by matching latency, hidden orders and market makers pulling quotes. In violent conditions actual slippage is usually worse than this calculation, because market makers withdraw precisely when you need the depth most. Use these numbers to build intuition about magnitude, not as a basis for trading.
Related terms
Precise definitions of mid price, spread, depth and slippage — plus how each is commonly misread — are in the glossary.