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Order Book Depth, Slippage and Price Impact: A Practical Guide

A clear, data-driven guide to order book depth, slippage and price impact.

Depth

Order book depth is the size resting at each price level. A common metric is 2 percent depth: total bids within 2 percent below mid and asks within 2 percent above. Large-cap pairs often have tens of millions of dollars of 2 percent depth.

Slippage versus impact

Price impact is the change in price your trade causes by consuming liquidity; slippage is the difference between expected and executed price, which also includes latency and others' trades.

AMM impact

In a constant product pool, price impact ≈ trade size ÷ (reserve + trade size). Selling $50,000 into a pool with $1 million of each asset moves the price by about 4.8 percent, plus the fee.

Reducing cost

Use aggregators such as 1inch, Jupiter or CowSwap that route across pools, split orders over time (TWAP), and set a slippage tolerance to protect against sandwiching.

Stop-loss slippage

During fast markets stop-loss orders execute as market orders, so a stop at $58,000 may fill well below; plan for fees on both entry and exit.

By the numbers

For Order Book Depth, Slippage and Price Impact, the reference figures are topic of Order Book Depth, Slippage and Price Impact, level of Intermediate, updated of 2026. The comparison table below lines up trade / pool reserve, impact — 1%: ~1.0%; 2.5%: ~2.4%; 5%: ~4.8%; 10%: ~9.1%.

Modeling Order Book Depth, Slippage and Price Impact with the DEX Price Impact Slippage Calculator

The DEX Price Impact Slippage Calculator takes three inputs — Trade size ($), Pool liquidity ($), Fee (%). Impact ≈ trade ÷ (reserve + trade) + fee. With its default inputs (Trade size ($) = 50000; Pool liquidity ($) = 2000000; Fee (%) = 0.3) it returns 5.06 %; swap in the figures from Order Book Depth, Slippage and Price Impact above to reproduce the scenario yourself.

Modeling Order Book Depth, Slippage and Price Impact with the Stop Loss Slippage Fee Impact Calculator

The Stop Loss Slippage Fee Impact Calculator takes three inputs — Position ($), Slippage (%), Fee (%). Cost = position × (slippage + 2 × fee). With its default inputs (Position ($) = 10000; Slippage (%) = 0.3; Fee (%) = 0.06) it returns 42 $; swap in the figures from Order Book Depth, Slippage and Price Impact above to reproduce the scenario yourself.

Data Table

For educational and informational purposes only. Not financial, investment, tax or legal advice. Figures are approximate and historical; crypto assets are volatile and you may lose capital. Do your own research.