What is Price Impact?

Price impact is the adverse move your order causes as it eats through successive order-book levels. A small order fills near the best price; a large order walks deeper into the book and fills at progressively worse prices.

It is the size-dependent part of slippage: a $10k order on a deep market may have near-zero impact, while the same order on a thin book can move the price meaningfully.

ORBIT estimates impact by walking the live L2 order book at your chosen size. On RFQ or AMM venues without a classical book, impact is modelled from quoted depth — and flagged when it cannot be measured precisely.