Follow each consumed level
Remaining depth keeps the side color; filled depth turns amber so the execution path stays visible.
Historical depth / live simulation
For finance and computer-science students: drag a market order through real Coinbase snapshots and connect each consumed level to its final fill.
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Field notes / 01
A market order accepts the best available resting prices until its requested size is filled or the book runs out. The quote at the top of the ladder is only the first stop. Drag the order-size control past that level and the amber fill path shows the prices the order reaches next. The average-price readout is the volume-weighted result of those fills, not a decorative estimate.
Switch between the deep BTC-USD book and the thinner AUCTION-USD book to hold the mechanism constant while liquidity changes. The Rust engine applies the same fill algorithm to both snapshot sets in your browser. Nothing is sent to a trading venue, and this is not a forecast or an order-entry screen.
Remaining depth keeps the side color; filled depth turns amber so the execution path stays visible.
Six timestamped snapshots per scenario let you replay how the same order size meets different liquidity.
Best price, average fill, unfilled size, and dollar slippage update together as the order walks the ladder.
Lab procedure / 02
Reference / 03
It is the extra execution cost created when an order exhausts the best price and fills at worse prices deeper in the book.
Yes. The bundled BTC-USD and AUCTION-USD L2 snapshots were captured from Coinbase Exchange's public order-book endpoint.
The best price may not contain enough size. The matching engine combines every partial fill into one volume-weighted average.
No. It replays static historical snapshots locally and never connects to an account or submits an order.