THE LAB / 01ORDER BOOKS & EXECUTION
AN IDEA YOU CAN EXPERIMENT WITH
Follow the fills.
Change the order size. Match one level at a time. See where the price comes from.
THE ORDER BOOK ILLUSTRATIVE / USD
Two sides. Finite liquidity.
ACME / SYNTHETIC| Side | Price | Resting units |
|---|---|---|
| ASK | $100.02 | 40 |
| ASK | $100.01 | 80 |
| SPREAD $0.01 | ||
| BID | $100.00 | 50 |
| BID | $99.99 | 70 |
A market order to buy 100 units arrives. The lowest ask is $100.01, with 80 units available.
YOUR INCOMING ORDER
Filled0 / 100
Average price—
Total cost$0.00
Synthetic price-time book, one venue, no fees, hidden liquidity or competing orders. Filled rows stay visible to show what changed. If liquidity runs out, this exercise stops with the remainder unfilled; actual order handling depends on the venue and order instructions.