The size you see is not the size you get

[Fairman]

The size you see is not the size you get

A depth ladder shows 5 million on the offer. A trader sends a market buy for 2 million and gets filled at three different prices, none of them the top of the book.

Displayed size is a promise that can be withdrawn. Liquidity providers quote size, but that size often reflects an upper bound, not a commitment. When a large order arrives, providers may pull back or reprice, and only part of the displayed amount is available at the posted price.

Another source of difference is aggregation. A broker's feed sums sizes from several providers, and each provider applies its own rules. The sum may not be executable as a single order.

Fills of a size above the typical retail clip are subject to partial fills, requotes, and slippage. For small sizes, none of this is noticeable.

The practical advice for scalpers is to test the fill quality at the largest size they plan to use. Place a few orders at that size during normal hours, log the average slippage, and compare it with smaller sizes.

A strategy that works at 1 lot and degrades at 5 has a capacity limit, and it's better to find it with a test than a surprise.

There's an additional wrinkle for traders using several accounts or copiers. When many orders hit the same quote simultaneously, each gets a fill that depends on its position in the arrival sequence. The first gets the top of the book. The last gets whatever remains. A system that fans orders out to ten accounts at the same instant produces ten different average prices, and the dispersion widens with size and market stress.

Staggering orders by a few milliseconds, or using smaller clips, often reduces the dispersion. It's another sign that the displayed book is a snapshot of availability for one participant, not for all at once.

Where is the size limit beyond which fills stop being clean on the broker used here?