How the model works
A market buy seeks available sell orders, beginning with the lowest displayed ask. If the first level cannot fill the requested size, the remainder moves to the next level. The weighted average is total hypothetical cost divided by the number of units filled. In this lab, depth slippage compares that average with the best displayed ask before the calculation starts.
Last price versus executable quote
A reference or last price describes an earlier observation. A current ask is an offer for a stated quantity. Neither guarantees the price available for a larger request.
Spread versus depth
Spread measures the gap between the best bid and ask. Depth describes how much quantity is displayed across prices. A narrow spread can coexist with limited depth.
Why weighted price matters
One request can receive portions at several prices. The average should be weighted by the quantity filled at each level, not calculated as a simple average of visible prices.
What this model cannot show
Real markets change while an order is being routed. Displayed quantity can be added, canceled, hidden, or executed by someone else. Fees, minimum sizes, venue priority, order protections, latency, and market impact also affect an outcome. This lab isolates one concept: walking through a static set of asks.
Reference trail
These primary and institutional materials informed the vocabulary and model boundary. They describe general market concepts, not a forecast or an instruction to trade.