Walking the Book
Market Microstructure glossary · Limit Order Book Mechanics & Order Routing Logic
Definition
When a large market order consumes liquidity at multiple price levels in the order book, progressively trading at worse prices.
Walking the Book in plain English
An order book is the stacked list of prices people are willing to trade at — a little supply at the best price, more a bit higher, and so on. If you place one huge "buy it now" order, you gobble up the cheapest shares first, then are forced to reach up to pricier and pricier ones to fill the rest — that climb is "walking the book," and it means you pay a worse and worse price as you go. It's like buying every ticket to a show: the front-row cheap ones sell out instantly, so to get them all you end up paying steeper prices row by row toward the back.
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