I thought I was being clever. Two markets were both quoting 60, so I figured: same price, same trade. Easy enough.
I hit the first one, and it felt great—5,000 shares filled at 60 without the price budging. Clean execution.
Then I tried the second. I grabbed 50 shares at 60, but the rest of my order started walking up a staircase I hadn’t noticed: 61… 62… 63. By the time I finished, what looked like “60” on the screen had quietly turned into something far more expensive.
That’s when it sank in: the headline price is just a front door.
Now, before I buy contracts, I force myself to ask three questions:
- Depth — how much size is really sitting at each price level?
- Spread — what’s the distance between best bid and best ask?
- Stability — is that spread steady, or does it vanish the second you lean on it?
The first time I pushed $2,000 through, I estimated about 1.2 points of slippage. Fine. But when I doubled down with another $2,000, I got burned again—another 1.2 points, sometimes worse. Unless the order book refills, slippage compounds like bad debt.
These days, I don’t trust the surface quote. I simulate fills against live depth before I commit real money. Backtests that assume “fills at mid” look great in spreadsheets, but the market doesn’t trade on spreadsheets. It trades on the staircase behind the quote.
