Definition. Estimates what it would actually cost to fill a market order of a given size right now. Trading more than the best price offers forces the order to "walk the book" into worse prices; this measures that cost as the gap between mid-price and your average fill price, in basis points (1 bp = 0.01%).

Interpretation. Larger orders and thinner books mean higher impact. Use it to estimate cost before trading, compare venues for a given order size, or benchmark realized fills against expectation.

Technical. Estimated execution cost in basis points for a market order of the selected notional, computed by walking the live order book from mid-price and comparing the volume-weighted average fill price to mid.

Notes. Set the order size in the pair's quote currency (e.g. USD/USDT).