Order book depth is how much size rests at each price level. Deep books absorb large orders with little price movement; thin books move sharply. Depth, not just the headline price, decides what a large order costs.
Your order walks the book level by level. On a deep book the next levels are close in price, so a large clip barely moves the price; on a thin book each level is further away, so the same clip pays more.
No one venue is deepest at every moment or every size. Measuring depth across venues, and routing to where the next piece is cheapest, is how a large order keeps its impact down.
EnsoTrade prices a large order against live order books across venues — which venues to use, what size each piece should be, and whether to rest an order or cross the spread. It is independent measurement, not execution: your own desk or execution partner keeps placing the orders on its own accounts, and we never touch custody, keys or funds. Before a window we price it at your real clip size on the venues you can use; after a window we score the fill with full workings. We quote no price or saving until you give your real clip size and fee stack — then the number is yours to check.
Price an order before you trade and score the fill after, on live multi-venue order books. We never touch custody, keys or orders — the independence is the point.
Request an assessment →See the scorecard →API →