Volume-Weighted Spread

The volume-weighted spread measures what a given size actually costs to cross, rather than what the best bid and offer suggest. Top of book shows the tightest price for whatever quantity happens to be resting there; a larger order consumes that and reaches into the next levels, so its average execution price sits further from the mid. Weighting each level's spread by the volume available at it produces the figure that size will really pay. This is why headline spread comparisons stop being useful above small tickets. Two brokers can advertise the same quoted spread and deliver very different costs on a full lot if the depth behind the quote differs. Platforms that expose market depth allow the calculation directly; where they do not, the gap between the quoted spread and the average fill price on your own larger orders is the same measurement taken after the fact.