Trading
How an order amount becomes shares, and how average execution price is computed across depth.
From amount to shares
Shares = A / p̄
A is the amount you commit; p̄ is the average price you actually fill at. Not the best price on screen — the average across everything you consumed.
Average price across depth
p̄ = Σ( pi × qi ) / Σ( qi )
The book has several price levels with limited size each. Your order walks the book, so the real cost is a size-weighted average (VWAP) of the levels you filled.
Level 1: 400 shares @ 0.60 Level 2: 600 shares @ 0.64 p̄ = (400×0.60 + 600×0.64) / 1000 = 0.624
Quoting 0.60 for the whole order would understate the cost by 0.024 per share. PolyWin prices the full fill, not the top of book.
Slippage
Slippage = ( p̄ − p_best ) / p_best
Slippage is the gap between the visible best price and your realised average. Deeper liquidity means smaller slippage for the same order size.
Liquidity evolution
Today, depth comes largely from external venues. Composite pricing merges multiple sources into one execution view; PLP adds protocol capital as a liquidity source; PolyBook is PolyWin's own book combining all of them.