Market impact: why orders get sliced

An institution cannot buy 5,000 contracts at once without moving price against itself: that is market impact. So it slices over time, and that slicing is precisely what you watch on the tape for hours.

What it changes in your read

• A level that "refuses" to give way for forty minutes is not magic: it is someone executing patiently, in clips, and reloading.
• A move that accelerates late in the day with no macro reason is often a desk behind on its program that agrees to pay the impact.
• A huge size crossing the book in one go (sweep) is a player for whom timing is worth more than impact: they know something, or they are forced.