Price impact measures how much the price of a security changes in response to a trade of a given size. Price impact is a response-to-trade dimension of liquidity; it is not interchangeable with quoted spread or order-book depth.
ReviewedEvidence1 sourceSectionPhrases & Idioms
Quick answer
Price impact measures how much the price of a security changes in response to a trade of a given size.
Key details
Canonical Formprice impact
Core MeaningPrice impact measures how much the price of a security changes in response to a trade of a given size.
Further guidance
History Boundary
Current authoritative financial meaning is published without claiming an exact inventor, coinage date, or absolute first use.
Meaning
Price impact measures how much the price of a security changes in response to a trade of a given size.
Usage Boundary
Price impact is a response-to-trade dimension of liquidity; it is not interchangeable with quoted spread or order-book depth.
Sources and evidence
Sources are shown with the role they play in this guide. Historical or style-sensitive claims are kept within the evidence boundary described above.
Regulation NMS defines best available displayed price by comparing the national best quote with the best disseminated odd-lot order on the relevant side, with a timing rule for midpoint-or-better limit orders. This is a U.S. Regulation NMS term with side- and timing-specific conditions; do not reduce it to a generic synonym for the best visible market price.
Executed Outside the Best Available Displayed Price is a current Regulation NMS defined term. This guide preserves the rule-specific benchmark and direction instead of replacing it with informal trading shorthand.
Executed With Price Improvement is a current Regulation NMS defined term. This guide preserves the rule-specific benchmark and direction instead of replacing it with informal trading shorthand.
Executed With Price Improvement Relative to the Best Available Displayed Price is a current Regulation NMS defined term. This guide preserves the rule-specific benchmark and direction instead of replacing it with informal trading shorthand.
Price improvement is the opportunity for an order to execute at a price better than the price currently quoted publicly. It is an execution-quality concept tied to a benchmark quote and is an opportunity rather than a guarantee; do not use it as a synonym for effective spread or for every favorable price move after an order is submitted.
Actionable Indication of Interest is a current federal securities-regulation defined term. This guide preserves the rule-specific definition and boundaries instead of replacing it with informal market shorthand.
Administrative Data is a current Regulation NMS defined term for specified administrative, control, and technical messages in the market-data plan framework.
Affiliate of a Subscriber is a current Regulation ATS defined term. This guide preserves the rule-specific meaning and boundary instead of replacing it with informal market shorthand.
