The tightest venue is not the deepest

Every venue comparison leads with the spread, because a spread is one number and it is easy to publish. It tells you what a tiny order costs. It tells you almost nothing about what your order costs, and the two are not related in the way people assume.

Size is a handicap here, not an advantage

The usual belief about markets is that scale buys you better execution. In these books the opposite holds. A small order pays the spread and nothing else. A large one walks up the book, and past a certain point it is not trading in the market so much as it is the market. That threshold arrives far earlier than the tight headline spread suggests, and it differs between venues that advertise almost identical spreads.

Two venues with the same spread and very different books

This page reads three order books live, computes the spread each one is quoting, and then walks the book to find what your size would actually pay. The venue with the tightest quoted spread is not reliably the one that can absorb you, and a comparison that stops at the spread will point you at the wrong one.

What this page will not claim

These feeds return the top of each book, not all of it. So every depth figure here is bounded by what we can see, and an order larger than the visible book is reported as unknown rather than given a flattering number. Not knowing is a real answer. A small number in place of an unknown one is not.

Live books load in a moment. If you are reading this, they have not arrived yet.