Calculate price impact for equities, crypto AMM swaps, or order book trades, with fill price, slippage, and execution cost estimates.

Impact follows the selected curve as the order fills, with fixed volatility, daily volume and coefficient.

Model estimates, not executable quotes. Other trading costs and market movement are excluded. AMM results include the entered swap fee.

Price Impact Formula

The following formula measures an observed execution-price difference relative to a benchmark. It does not by itself isolate the portion caused by the trade. The calculator estimates execution using an equities impact curve, a constant-product AMM, or supplied order-book depth:

PI(%) = |(Pexec - Pref) / (Pref)| ร— 100

Variables:

  • PI is the relative execution-price difference (%)
  • Pexec is the average execution (fill) price of the order ($ per share)
  • Pref is the reference price used as a benchmark (often the mid price, last traded price, or AMM spot price before the trade) ($ per share)

To calculate price impact, find the difference between the average execution price and the reference price, divide by the reference price, and convert to a percentage. The absolute value measures magnitude, even for a favorable execution; a cost interpretation also requires the trade side. AMM output-per-input rates use 1 โˆ’ execution rate / pre-trade spot rate and include the entered swap fee. In the equities model, average impact integrates the selected curve: two-thirds of peak for square root, but not for logarithmic impact.

What is a Price Impact?

Price impact refers to the effect that large trades or high trading volumes have on the price of a security. When a large number of shares are bought or sold, it can significantly move the price up or down. This is because the increased demand or supply can outweigh the current available supply or demand. Price impact is a crucial consideration for large investors and traders as their trades can influence the market price, potentially leading to less favorable execution prices.

How to Calculate Price Impact?

The following steps outline how to calculate the Price Impact.

  1. Determine the reference price (Pref) before the trade (for example, the mid price or AMM spot price).
  2. Determine the average execution price (Pexec) of your trade (the average price you actually paid/received across fills).
  3. Compute the relative difference: (Pexec โˆ’ Pref) รท Pref.
  4. Take the absolute value for magnitude; use the trade side to distinguish an adverse cost from a favorable execution.
  5. Multiply by 100 to convert to a percentage.

Example Problem:

Use the following variables as an example problem to test your knowledge.

Reference price (Pref) = $10.00

Average execution price (Pexec) = $10.05

Trade side = Buy (so execution is typically above the reference price)

Price impact = |(10.05 โˆ’ 10.00) / 10.00| ร— 100 = 0.5%