Why does a large market order get a worse price than the one on screen?
A large market order uses up the orders at the best price, then keeps filling at worse prices, level by level.1,2 So the average price you get is worse than the best price you saw, and the price left behind has moved.3,4
One price is not enough
The SEC warns that parts of a large market order may trade at different prices, because there is not enough liquidity at one price.1 Its example: an order to buy 1,000 shares when the best offer is $3.00 could see 500 shares bought at $3.00 and the other 500 at a higher price.1
Uniswap's documentation describes the same thing in an order book. A big buy order can use up all the sell orders at the best price, then carry on against the next ones at a higher price.2 The final price ends up somewhere between the two.2
Kraken's trading rules say the same about its own market orders. Because of the order's size and the orders waiting on the book, a market order may fill at several price levels.3 In this module we call this "walking the book".3
Average fill price
When an order fills at several prices, what matters is the total. Add up what each level paid, then divide by the number of tokens. That is the average fill price.1,2
Compare it with the best price that was showing when you placed the order. FINRA's point is that you might not get the price you saw.5 The gap between the two is your slippage, which Lesson 4 looks at more closely.6
- Start at the best price, and fill as much as that level offers.
- Move to the next level, and so on, until the whole order is filled.
- Average fill price = total paid or received ÷ number of tokens.
- Slippage % = the gap between the best price showing when you placed the order and your average fill price, ÷ that best price × 100. For a sale, use the best bid. For a buy, use the best ask. Measured from the mid price instead, the slippage would come out bigger; this module uses the best bid or ask.
Example: buy 1,000 tokens when the best ask is $3.00. 500 fill at $3.00 and 500 at $3.12. The total is $3,060, so the average is $3.06 and the slippage is 2%. The quizzes use this method.1,5
Price impact: the price you leave behind
A big order does not just get a worse price. It moves the market. Chainlink's documentation says a market order can move the market price when it is large compared with the amount available.4
That is what depth measures. The BIS describes depth as the size of trade a market can absorb without the price moving.7 In a thin book, the same sale uses up more levels and leaves a lower best price behind.4,7
Some price feeds now try to show this. Chainlink says its liquidity-weighted bid and ask prices weight each price by the amount available at it, to better reflect markets where larger orders would move the price a lot.4
Guard rails
Some exchanges stop the worst cases. Kraken's rules, for example, say it rejects market orders when the spread is wide, typically 2.5% to 20% of the market price, depending on the pair.3 Its rules suggest a limit order instead, to cap the slippage.3
- Understanding Order Types (Investor Bulletin). Investor.gov, US Securities and Exchange Commission, Office of Investor Education and Assistance, 12 July 2017, updated 18 August 2026.
- Understanding Swaps on Uniswap. Uniswap developer documentation.
- Exchange Trading Rules. Kraken (Payward).
- Data Streams Liquidity-Weighted Bid-Ask Prices (LWBA). Chainlink documentation.
- Order Types. FINRA (Financial Industry Regulatory Authority).
- What is Slippage?. Uniswap Labs blog, 11 September 2025.
- Market liquidity and stress: selected issues and policy implications (BIS Quarterly Review, special feature). Bank for International Settlements (Claudio Borio), November 2000.
General education built from the publicly available sources listed above. Not financial, legal, tax or investment advice. Naming a company, project or regulator is not an endorsement either way. Last checked 2026-10-22. Terms and disclaimer.