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.
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FiveMinFiona
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4 replies

CryptoKarl· 26d ago
perps spoiled me honestly, i just look at the ladder before i send anything size. equities people clicking market orders blind is wild to me
ZenTrader_Ana· 25d ago
This is a nice reframe. Half the frustration I used to carry about "bad fills" was really me being angry at the market for not being a single number.
MLcurious· 25d ago
wait so if only a small fraction sits at the best price, is the displayed quote basically just... the first tiny slice? i think i've been reading the top of book as if it meant something much bigger than it does
I
Shocking news: the number on the screen is not a promise. Next week they'll measure whether the guy on the other side wants you to make money.
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