Equilon FXA quote has
a capacity.
Increase a hypothetical EUR buy order. The best offer stays the same, but only a limited amount is available at each level.
| Offer | Available EUR | Filled EUR |
|---|---|---|
| 1.1000 | 1m | 1.0m |
| 1.1002 | 2m | 2.0m |
| 1.1005 | 3m | 0.0m |
A 3.0m EUR order uses 2 price levels. The displayed best offer covers only the first 1m EUR.
A weighted average, not the first price
The model fills the cheapest available offer first, then moves to the next level until the order is complete. The average is the total dollar cost divided by the euro amount. In this example one pip is 0.0001 USD per EUR.
What this model leaves out
The three levels are invented and fixed. The model assumes immediate, complete execution at the displayed quantities with no fees, cancellations, new liquidity or latency. It is not a broker quote, an execution guarantee or a representation of the entire FX market.
FX trading takes place across venues and relationships. A single simplified book is a way to explain capacity, not a consolidated view of all available liquidity. Background: BIS on FX execution and market functioning ↗.