Identifier: C3T1L3 · Revision: 2026-10-26 · Classification: domestic

Decision and objectives

Distinguish last price, volume and open interest from executable depth. The decision record must connect the exposure, cash dates and implementable contract, rather than stop at a favorable price forecast.

By the end, you can distinguish last price, volume and open interest from executable depth; calculate a size-weighted fill and spread cost; set a justified execution limit when depth is insufficient.

Prerequisite: C3T1L2; completed Classes 1 and 2 and the Stock Market School foundation or Forex School foundation. All cases below are hypothetical; their prices, costs, rates, dates, contractual assumptions and collateral amounts are teaching inputs, not current offers.

Mechanics

A limit order sets the worst acceptable price but cannot guarantee a fill. Volume measures transactions over a period; open interest measures outstanding contracts after offsetting and position changes. Neither tells you how many contracts can be bought now at the last price. The order book is a time-specific list of bids and offers, and displayed orders may be cancelled before your order arrives.

A marketable limit can consume several offer levels. A passive order can remain unfilled while the hedged cash exposure moves. Check current permitted order methods rather than assume every screen offers a market order.

Price and return drivers

For a buy, average execution = sum(quantity × offer)/total quantity. Immediate spread cost relative to an agreed mid is (average buy − mid) × multiplier × contracts. This measures one execution friction, not all liquidity risk. A liquidation after a gap can cost far more than the opening half-spread.

Worked case

A hypothetical index book has bid 9,998 for four contracts; offers 10,002 for two and 10,006 for three. Buy five with a 10,006 limit. Weighted fill is (2 × 10,002 + 3 × 10,006)/5 = 10,004.4 points. The initial best bid/offer mid is 10,000; slippage relative to mid is 4.4 × 10 × 5 = TRY 220. Entry commission TRY 10 per contract adds TRY 50, so entry friction is TRY 270. Funding, eventual exit charges and tax are excluded. The average is a calculation, not itself a valid single order tick.

Adverse case

If the second offer is cancelled, only two contracts fill and three remain unhedged. Replacing the residual at 10,030 makes the average (2 × 10,002 + 3 × 10,030)/5 = 10,018.8, with TRY 940 slippage to the original mid before fees. A large historic daily volume does not make the cancelled offer available. A stop triggered through a gap can also fill far beyond its trigger; a stop limit may not fill at all.

Practical use

Inspect timestamp, venue, series and quantity together. Record partial fills and residual exposure before resubmitting to avoid duplicate orders. Ask the member which order methods are supported and how cancellations and session transitions operate. The cash ledger must reserve commission for every fill and financing for the resulting collateral; settlement follows the contract, not the quote timestamp.

Reconcile the confirmation, position register and cash statement separately. Costs include the quoted bid/ask spread, brokerage and clearing charges, collateral or principal financing, currency conversion, custody where relevant, and exit or termination charges. A mark is not a fill. Any amount explicitly excluded below remains outside the reported result. Tax is excluded from these teaching cases: an actual comparison requires income year, investor residence and individual/corporate status, contract and acquisition dates, settlement form and effective law. The GIB guide, checked 2026-10-26, covers 2025 individual investment income, so its publication date alone does not settle a 2026 derivative liability.

Decision boundaries

Use a staged or smaller hedge if acceptable depth exists within the cost budget. A displayed last price cannot justify a full-size fill assumption. When the mandate requires immediate full coverage and available depth cannot support it, compare an executable alternative or defer the hedge with the residual explicitly approved in the paper case.

Practice and references

Exercise: buy four hypothetical contracts with multiplier TRY 10: one at 12,001 and three at 12,005. Mid is 12,000; commission TRY 8 each. Solution: average = (12,001 + 3 × 12,005)/4 = 12,004; slippage = 4 × 10 × 4 = TRY 160; commission = TRY 32; entry friction = TRY 192. A limit of 12,003 would fill only the first contract under the supplied static book.

Takeaway: Set a justified execution limit when depth is insufficient using the actual cash schedule, with every excluded cost and remaining exposure stated.

Reference card: viop-future. Formula: Weighted execution price. Glossary: Liquidity, Open interest, Slippage. Next lesson: C3T1L4. Topic test.

Sources and verification date (2026-10-26):

Shared reference guide