Liquidity Calculator
Enter the order book levels and your desired position size to see your average fill price and how much slippage will cost you.
Liquidity Calculator
Order book
Position size
Avg fill price
42.88¢
Best price
42.00¢
Fill breakdown
$928.00 of your order wouldn't fill — not enough liquidity on the book
Why Liquidity Matters
The price you see on a prediction market isn't always the price you get. If there are only 500 shares at 42 cents and you want to buy 2,000 shares, you'll eat through the 42-cent level and start filling at 43, 44, or higher. The difference between the best price and your average fill price is slippage — and it directly reduces your return.
What Is Liquidity?
Liquidity refers to how much volume you can trade without moving the price. A “liquid” market has deep order books — thousands of shares available at each price level — so large orders fill at or near the displayed price. An “illiquid” market has thin books, meaning even a modest order can move the price several cents. On prediction markets like Polymarket and Kalshi, liquidity varies enormously between popular markets (presidential elections) and niche ones (obscure economic indicators).
How This Calculator Works
- Enter each price level and the number of shares available at that level from the order book
- Enter the total number of shares you want to buy
- The calculator simulates “walking the book” — filling your order level by level
- See your average fill price, total cost, and slippage cost compared to the best available price
Worked Example
You want to buy 1,500 shares of a “Yes” contract. The order book shows: 400 shares at 55¢, 500 shares at 56¢, 300 shares at 57¢, and 800 shares at 58¢. Your order walks the book: 400 at 55¢ ($220), 500 at 56¢ ($280), 300 at 57¢ ($171), and 300 at 58¢ ($174). Total cost: $845. Average fill: 56.3¢. If you'd gotten all 1,500 at 55¢, it would have cost $825. The slippage cost is $20, or 1.3¢ per share. If your edge on this market is only 3¢, slippage just ate 43% of it.
Why Slippage Matters for Position Sizing
Most traders think about edge and fees but forget about slippage. On thin markets, the size of your position directly determines your effective cost basis. A $100 position might fill at the best price, but a $1,000 position could cost 2-3% more per share. Use this calculator before trading to figure out the maximum position size that keeps your effective edge positive. Sometimes the right trade is a smaller one. After accounting for slippage, check your trade with the PM EV Calculator using your actual average fill price instead of the displayed price.
Common Questions
Where do I find order book data?
On Polymarket, click into any market and look at the order book tab. It shows buy/sell offers at each price level with the number of shares available. On Kalshi, the depth is visible in the trading interface. Enter these levels manually here.
How much slippage is too much?
It depends on your edge. If you think a contract is 5% underpriced but slippage costs you 3%, your real edge is only 2%. As a rule, if slippage eats more than half your expected edge, the position size is too large for the available liquidity.
Can I reduce slippage?
Use limit orders instead of market orders, split large orders over time, or accept a smaller position. You can also place maker orders at your target price and wait for the market to come to you — but you risk not getting filled.
What is slippage in prediction markets?
Slippage is the difference between the price you expect to get and the price you actually get when you execute a trade. It happens because your order eats through multiple price levels in the order book. A 1,000-share order might get the first 200 shares at 42¢, the next 300 at 43¢, and the rest at 44¢ — your average fill is higher than the 42¢ you saw.
Which prediction markets have the best liquidity?
High-volume markets on Polymarket (election markets, major economic events) tend to have the deepest order books, often with millions of dollars in liquidity. Kalshi's most liquid markets are economic data releases (jobs, CPI, GDP). Niche markets on any platform can have very thin liquidity, making slippage a significant cost.