Walk-the-book slippage estimate

A walk-the-book slippage estimate computes what a market order will actually pay by filling it level by level against the live order book, then comparing the resulting average fill price with the mid price. The price an interface shows is the price of the next unit; a market order of any real size pays the best price, then the next, and so on until it is filled, and the walk is the only honest way to quote that cost before the order goes out.

How the walk runs​

For a buy it takes the ask side, for a sell the bid side. It fills the order's notional size from the best price outward, tracking how much it has spent and how many units it has bought. The ratio is the average fill price; its distance from the mid price, in basis points, is the slippage estimate. After the order is fully filled the walk keeps going and sums the value of every remaining level, which gives the visible depth of that side of the book.

What the result means​

The estimate answers one question: if this order hit the book right now, what would it pay? It makes no assumption about liquidity arriving or leaving. It is reported as a whole number of basis points because the book is a snapshot that will have moved by the time the order lands, and a fractional figure would claim precision the snapshot cannot deliver.

How BT365 uses it​

BT365 runs the walk before a perps order is placed, and the visible depth it measures is what decides whether an order is safe to send at all. The full reasoning, including how leverage multiplies the bill and when the honest answer is not to send the order, is in How do you know what a market order will cost before you send it?

BT365 is not available in every jurisdiction, and nothing on this page is investment advice. Trading perpetual futures carries risk of loss.