Market Depth formula

Fillp
=
(Lv1 * Lp1) + (Lv2 * Lp2)RV

Where

Fillp = Executed Price

Lv = Layer Volume

Lp = Layer Price

RV = Requested Volume

Example

Requested Volume 10 Lots Buy BTC (entering the Market)

Market Depth Buy Side

Layers Buy VolumePrice
32.269778.75
26.339775.83
11.419773.79
Fillp
=
(1.41 * 9773.79) + (6.33 * 9775.83) + (2.26 * 9778.75)10
Fillp
=
(13,781) + (61,881) + (22,100)10
Fillp
=
(97,762)10
Fillp
=
9,776.20

Requested Volume 10 Lots Sell BTC (exiting the Market)

Market Depth Sell Side

Layers Sell VolumePrice
35.359765.88
23.519768.75
11.419771.41
Fillp
=
(1.41 * 9773.79) + (6.33 * 9775.83) + (2.26 * 9778.75)10
Fillp
=
(13,781) + (61,881) + (22,100)10
Fillp
=
(97,762)10
Fillp
=
9,776.20

Requested Volume 10 Lots Sell BTC (exiting the Market)

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