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Practical market worksheet

Order Book Depth and VWAP Calculator

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

Your inputsBrowser calculationCSV export

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.

What this helps you check

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.

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.

Your worksheet

No account connection required

Inputs are processed in your browser by this calculator. There is no quote lookup or file upload for the calculation. Site measurement and consent are handled separately by the site's privacy and consent controls.

CSV schema: price (number), quantity (number). Header required; comma delimiter. Numeric fields use decimal points. Timestamps require Z or a numeric UTC offset. The original input remains unchanged.

Unit: base. Use a decimal point; do not use thousands separators.
Comma-separated CSV with a header. Maximum 500 rows and 200,000 characters.

Interactive calculation requires JavaScript. The method and hypothetical worked example below remain readable.

Hypothetical worked example

Check the example by hand

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.

Filled quantity
5base
Unfilled quantity
0base
VWAP
100.4USD per base
Difference from best level
40bps
Quote amount
502USD
Exact example inputs
{
  "side": "buy",
  "requested_quantity": "5",
  "quote_asset": "USD",
  "reference_time": "Example",
  "csv": "price,quantity\n100,3\n101,4"
}

The example is invented to demonstrate the method. It is not a current market quote, a provider's fee schedule or verified trading performance.

How the worksheet works

  1. Require positive prices and quantities and distinct ordered prices: ascending asks for buy, descending bids for sell.
  2. Consume min(level_quantity,remaining) until requested quantity or levels are exhausted.
  3. VWAP=sum(consumed*price)/filled.
  4. Adverse best-level bps: buy=(VWAP-best)/best*10000; sell=(best-VWAP)/best*10000.
  5. Do not extrapolate beyond supplied levels; preserve remaining unfilled quantity and warning.

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.

Boundaries to keep in view

  • Static snapshot does not guarantee execution; prices and available size may change.
  • Quantity must be base units, not undisclosed derivative contract counts.
  • Difference from the best level is not midpoint effective spread or a broker-quality rating.

Compare resources for this task

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.

10 Services for Order-Book and Execution Research

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.

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

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    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.