What Is the Significance of the “Top of the Book” in Determining Immediate Slippage?

The "top of the book" refers to the best bid and best ask prices, along with the volume available at those exact prices. This is the first level of liquidity an incoming market order will hit.

The size of the volume at the top of the book determines the immediate, minimal slippage. If the order size exceeds this volume, it must consume the next price level, increasing slippage.

A thick top of the book indicates strong immediate liquidity and low initial slippage potential.