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Order Book Depth and VWAP Resources

See the average price and remaining size implied by a supplied order-book snapshot.

The best displayed price tells you little about a larger order. This calculator walks through manually supplied asks for a buy or bids for a sell, allocates only the available quantity at each level, and reports the volume-weighted price of the consumed levels. Any quantity beyond the supplied depth stays unfilled.

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Order Book Depth and VWAP Calculator

Consume supplied price levels and see weighted price, available quantity and any unfilled remainder.

A hypothetical buy of 5 base units meets 3 units offered at 100 USD and 4 at 101 USD. It consumes 3 at 100 and 2 at 101, spending 502 USD at a VWAP of 100.4. That is 40 basis points above the best level. Asking for 8 units would leave 1 unit beyond the supplied 7-unit depth.

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10 Services for Order-Book and Execution Research

For depth research, distinguish actual level data from order documentation and a spreadsheet calculation. Useful evidence specifies level units, the snapshot time and how an order behaves when the visible size is insufficient.

Compare documented roles using level prices and quantity units, snapshot timing, partial depth coverage, market-order behavior, developer reference versus worksheet. The Telegram channel we promote is disclosed in the first entry.

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Prepare useful inputs

Paste positive price and base-quantity levels in execution order: ascending asks for a buy, descending bids for a sell. Prices must be distinct. Identify the snapshot source and time, and convert derivative contract counts to base units before using this schema.

Read results in their proper scope

VWAP applies only to the portion consumed from this snapshot. The best-level difference measures the movement through these supplied levels, not an independently tested execution-quality score. A changing book, latency or venue rules can produce a different live outcome.

The worked example and method can be read without JavaScript. Running the calculator requires JavaScript; its form values remain in the browser, with no account connection or quote lookup for calculation.

Official sources and scope

The sources document formats, mechanisms or record workflows. The arithmetic and editorial comparison on this page use the supplied worksheet definitions.

  • Kraken price terminology

    Average fill price is weighted by the quantities filled at each price.

    Reference checked 2026-10-01. Consult the source for current product rules.
  • Coinbase Advanced order types

    Market, limit and stop-limit mechanisms, partial fills and execution uncertainty.

    Reference checked 2026-10-01. Consult the source for current product rules.
  • OKX API schemas

    Order-book quantities, instrument units and candle completion states; developer documentation.

    Reference checked 2026-10-01. Consult the source for current product rules.
  • CCXT official manual

    OHLCV gaps can mean no trades rather than erroneous data; developer library and schema reference.

    Reference checked 2026-10-01. Consult the source for current product rules.