The price is only real up to the size behind it
A price with nothing behind it is a headline, not an opportunity. On an exchange every quote carries the amount of money available at it, and a large order simply eats through the rows — which is why the price your order actually gets is often worse than the one that tempted you.
Size is part of the quote
In a deep market — a major football match, a big tennis tournament — the top few rows of the book can hold enough money that your order fills at the price you saw. In a thin market, the same order walks down the rows and your average price is worse than the top of the book.
Illustrative thin market. Small amounts rest at each price, so a moderate order fills across several rows at an average price well away from the top of the board.
What a thin market feels like
- Your order fills in pieces. Several small matches instead of one clean fill, at slightly different prices.
- The board moves away from you. Your own order, or the order after it, takes the best price and the next trader sees a worse one.
- Closing a position is harder than opening it. The size you took may not be there when you want to trade back out.
- The spread is wider. Which is the market’s way of telling you that taking the other side is a real risk, not a formality.
Judging liquidity before you act
Liquidity is judged in the minutes before you trade, on the market itself, not from a memory of how the same fixture looked last month.
The top price means nothing if it is backed by a trivial amount. Read the size column first.
If your stake crosses three or more rows, the price you are quoted is not the price you will get.
Markets near a start or during an event move fast; a book that looked deep ten minutes ago may be shallow now.
If the plan is to trade out, the size on the other side at that moment is the real limit on the plan.
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