Why did my order fill at a worse price than I saw?
· 6 MIN READ
The price shown on a market card is usually a midpoint, and nobody trades at the midpoint. You buy at the best offer on the book — on a thin market, that gap costs far more than fees ever will.
You saw 42¢. You bought, and the receipt says 45¢. Nothing went wrong, and nothing was taken from you. You were reading a number that was never a purchase price.
The midpoint is a summary, not an offer
Every market has two sides. Someone is willing to sell at a price — the ask. Someone is willing to buy at a lower one — the bid. Between them is empty space, the spread, where no trade exists.
A single displayed price has to come from somewhere, so it is usually the midpoint between the best bid and the best ask, or the last trade that happened. Both are summaries. Neither is available to you. If the book shows a best bid of 39¢ and a best ask of 45¢, the "42¢" you saw is the average of two prices, and you can transact at exactly one of them: 45¢ to buy, 39¢ to sell.
On a busy market the spread is a cent or less and the distinction barely registers. On a market that trades a few hundred dollars a day it can be five or ten cents wide, and it is the single biggest cost of your trade.
Depth: the second price you didn't see
The best ask is only good for as much size as that seller offered. If someone is selling 50 shares at 45¢ and the next offer up is 52¢, an order for 200 shares clears the first 50 at 45¢ and then walks up the book. Your average fill is worse than the top of the book, and the bigger your order relative to the market, the worse it gets.
This is why the same market can feel cheap at $10 and expensive at $500. The price you can get is a function of how much you are buying.
Slippage limits and partial fills
The defence is a price cap: state the worst average price you will accept. If the book can fill you inside it, you trade. If it can't, you get filled partially, or not at all.
That is the trade-off, and it is worth stating plainly: a tight cap protects you from a bad price and exposes you to no position. A loose cap guarantees you get filled and lets a thin book decide what you pay. A partial fill is not a failure — it means the market genuinely had nothing more to sell you at a price you agreed to.
What to do about it
Look at the book, not the card, before sizing anything. If the spread is wide, ask whether your edge is bigger than the spread — often it isn't, and the trade you thought was good is only good at the midpoint you can't have.
You can also be the other side of it. Placing a resting order inside the spread means waiting instead of paying, and sometimes the market comes to you. Sometimes it doesn't, and the news arrives without you.