The quote is a quantity, not a price
Been sizing up slowly on my 5m breakouts and kept noticing that my fills on the bigger clips sit worse than the small ones, same setup, same trigger, same names. Nothing dramatic, just consistently a bit off the level I clicked. Assumed it was my own hesitation until I went through that piece on order book depth here, where they walked the recorded ladders and found the top of book holds a much smaller amount than I'd been picturing - and only a thin slice of the whole visible book sits at the best price at all. So do any of you actually scale entry size to depth rather than to account risk? I've always done the second and it never occurred to me those are different questions, my stop distance says nothing about whether the book can absorb me.