What Is a ‘Whale Order’ and How Does It Typically Impact the Order Book and Slippage?

A 'whale order' is a single, exceptionally large buy or sell order that represents a significant portion of the asset's daily trading volume. When a whale order is executed as a market order, it often consumes all the available liquidity at the best prices and "walks the book," causing a rapid and substantial price change.

This results in massive negative slippage for the whale trader and significant volatility for the rest of the market.