Walking through book levels
The calculation consumes size from the best price outward until the target is filled or available liquidity runs out.
VWAP = sum(price × amount) / sum(amount)
Displayed liquidity is not guaranteed
Limit orders can be cancelled. A single large level, infrequent updates, or wide gaps between prices calls for a buffer or smaller trade size.
Updated: 2026-07-18
Frequently asked questions
What if the book cannot fill the target size?
Reduce the working size or reject the route; missing liquidity should not be valued at the last visible price.
Why check depth on both legs?
A strong buy fill does not help if insufficient sell-side depth makes the overall route unprofitable.