The fill price of a market order is normally different from the price you see on the screen when you place the order. The on-screen price is only the last traded price, not a guaranteed fill price for your order. A market order works like this: you tell the system "I want to buy X amount," and the system immediately goes to the order book and takes available sell orders, level by level, until the amount you entered is used up.
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Why the Fill Price Changes: Depth + Slippage
The price you see usually matches the order size at the top level of the order book, also called the best price level. If your buy amount is small and only uses that level, your fill price will be close to the displayed price.
But if your amount is larger, after the best price level is consumed, the system automatically moves to the second level, then the third level, where sell orders have higher prices. The thinner the order book, the more each additional level pushes the price up. Your final fill price is the weighted average of all levels your order consumed, and that average is usually higher than the price you first saw.
| Scenario | Order book depth | Order size | Actual fill price |
|---|---|---|---|
| Ideal case | Deep (major pairs, such as BTC/USDT) | Small | Close to displayed price |
| Common case | Moderate | Medium | Slightly higher than displayed price |
| Extreme case | Thin (small coins, poor depth) | Large | Significantly higher than displayed price, serious slippage |
OKX official documentation mentions a "worst-price protection" mechanism for market orders. It is designed to prevent large orders from having extreme slippage, but it does not remove slippage; it only limits how bad it can get.
Another easy-to-miss point: a market buy order can only be placed by "amount," while a market sell order can only be placed by "quantity." So if you enter "I want to buy 1,000 USDT worth of crypto," the system will try to fill as close to that amount as possible, but the actual filled amount and quantity may differ slightly because the fill price changes.
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How to Check After Placing an Order
After placing a market order, open the trade record in your order history. The page will show the actual average fill price and the filled quantity. Compare that price with the reference price you saw when placing the order, and the difference is slippage. If slippage is beyond what you can accept, next time consider using a limit order or check the order book depth before placing an order.
