What a market order really costs
The price on the screen is where the last trade happened. The price you get depends on the fee, the spread and how much of the book your order uses.
How this was made: an AI assistant drafted this guide under the operator's direction, and the numbers were checked against the calculators on this site. Nothing here is investment advice.
Four costs in one click
- The fee. A market order is a taker order, which pays the higher fee on most exchanges.
- Half the spread. The best buy price is below the best sell price. Buying at the ask and selling at the bid costs the gap, half on each side.
- Depth. If your order is bigger than the best level holds, the rest fills at worse prices further into the book.
- Movement. The book changes between your look and your fill.
Only the first is printed on the fee schedule. The others show up as a fill price that is worse than the price you saw.
An order book worked through
Suppose the sell side offers 2 units at 100.0, 2 at 100.5 and 1 at 101.0. A market buy of 5 units takes all three levels: 2 × 100.0 + 2 × 100.5 + 1 × 101.0 = 502, an average of 100.40, which is 0.40% above 100.0. With a 0.1% fee, the order costs 502.502. The fee is only about a fifth of the extra cost, and it is the part that is easy to see.
The slippage calculator takes any book you paste in and walks the order through it.
The tick is a cost too
Prices move in steps called ticks. On Upbit's won market, a coin priced at 128 won moves in steps of 1 won, so one tick is 0.78% of the price, fifteen times the fee. A market order has to cross the spread, which on such a coin is at least one tick. This is why our backtests charge a fee and one tick of slippage, and why short bars fared so badly: the hidden cost of a price tick on Upbit.
A round trip
A round trip, one buy and one sell, pays each cost twice. With a fee of 0.05% a side, a spread of 0.04% and 0.03% of slippage on each side, a round trip costs 2 × 0.05% + 0.04% + 2 × 0.03% = 0.20%. A strategy that earns 0.15% per trade before costs loses money after them. The bot vs. fees calculator does this sum for your own numbers.
Maker or taker
A limit order that waits in the book is a maker order, and usually pays a lower fee or none. The price of that saving is that it may not fill, or fills only when the price is about to move against you. There is no free option: you trade a certain cost for an uncertain one.
How to measure your own
Record the mid price, halfway between the best bid and ask, at the moment you place an order, and compare it with your average fill price, in both directions. The gap, plus the fee, is what that trade really cost. A month of such numbers beats any guess, and it is the figure to enter in the trading fee calculator.