Price Impact Calculator
Your order moves the market against you: a large buy pushes the price up before your trade finishes, and a large sell pushes it down. This calculator estimates that market impact from four inputs: the volume of shares you trade, the security’s price, your direction (buy or sell), and the total volume available. It returns the estimated per-share impact in dollars, the impact as a percentage, the trade value, and your share of the volume, using the linear participation model PI = (V × P × D) ÷ T.
A first-order linear estimate for planning. Real impact depends on volatility, the order book, and execution speed, which this model does not capture.
Quick Answer
A buy order for 10,000 shares at $50 against 1,000,000 shares of available volume has an estimated impact of $0.5000 per share, or 1.0000%, labelled Upward Price Impact (Price Increase). The trade value is $500,000.00 and your market share of volume is 1.00%. Those are the pre-filled values: click Calculate price impact and the tool returns them exactly. Flip the direction to Sell and the same order shows a Downward Price Impact of the same size.
Key takeaways
- The model's impact percentage is exactly your signed share of total volume: a 1% participation rate means a 1.0000% impact under this linear formula.
- Direction sets the sign: buys push the price up, sells push it down. The headline dollar figure is absolute; the label gives the direction.
- This is a first-order linear estimate. Real market impact is usually sublinear (closer to a square-root law) and depends on volatility and the order book, which this model does not capture.
- The calculator validates inputs: every field must hold a valid value, and your volume cannot exceed the total volume available.
How to use the price impact calculator
Enter four numbers, pick a direction, and click Calculate price impact. The results stay hidden until you calculate, and Reset clears everything.
- Enter the volume of shares traded: the size of your order in shares. This is pre-filled with 10,000.
- Enter the price of the security: the current per-share price. The dollar impact scales with it.
- Pick the trade direction: Buy (+1) for upward pressure, Sell (−1) for downward pressure. Leaving it on "Select direction" stops the calculation with an error.
- Enter the total volume available: the volume that can absorb your order, for example the day's total volume. Your order cannot exceed it.
- Read the five lines: the per-share impact in dollars (32px headline), the impact percentage, the direction label, the trade value, and your market share, followed by the formula readout. Copy or Share exports the full result.
The price impact formula
The calculator applies one formula and three derived readouts:
Impact % = (PI ÷ P) × 100 | Trade value = V × P | Market share = (V ÷ T) × 100
V = your trade volume, P = price, D = direction (+1 buy, −1 sell), T = total volume available
The honest thing to notice is what happens when you divide the dollar impact by the price: PI ÷ P simplifies to (V × D) ÷ T, which is your signed participation rate. Under this model, the impact percentage is your market share. A trade that is 1% of the available volume moves the price 1%, every time, in either direction. That linearity is the model's whole personality: it is simple, transparent, and easy to sanity-check, and it is also the place where the model departs from real markets, as the next section explains.
This matters because impact is the part of your execution cost that you cause yourself. When the average execution price calculator shows a worse average than the quoted price, market impact is usually the reason: each fill consumed liquidity and moved the quote against the remaining shares.
Worked example, checked against this exact tool
The pre-filled buy example (10,000 shares at $50, total volume 1,000,000) gives PI = (10,000 × 50 × 1) ÷ 1,000,000 = $0.5000, and 0.5000 ÷ 50 × 100 = 1.0000%. Two more real runs of this calculator:
| Order | Impact ($/share) | Impact % | Direction label | Market share |
|---|---|---|---|---|
| Buy 10,000 @ $50.00, T = 1,000,000 | $0.5000 | 1.0000% | Upward Price Impact (Price Increase) | 1.00% |
| Sell 10,000 @ $50.00, T = 1,000,000 | $0.5000 | 1.0000% | Downward Price Impact (Price Decrease) | 1.00% |
| Buy 500 @ $120.50, T = 20,000 | $3.0125 | 2.5000% | Upward Price Impact (Price Increase) | 2.50% |
Check the third row by hand: (500 × 120.50 × 1) ÷ 20,000 = 60,250 ÷ 20,000 = 3.0125, and 3.0125 ÷ 120.50 × 100 = 2.5000%. The trade value there is $60,250.00. Every row above is a real run, so typing the inputs reproduces the figures exactly. Large physical and futures trades face the same participation logic, which is why the commodity profit calculator pairs well with this one when a big order's own footprint is part of the trade's economics.
What this model assumes, and what real impact models add
This calculator implements a linear participation model: impact scales in direct proportion to your share of volume. That choice has a respectable pedigree. Kyle's 1985 model of strategic trading derives price impact as linear in order flow, with Kyle's lambda measuring the price change per unit of net order flow; Bertsimas and Lo's optimal execution work models a linear permanent impact; and the Almgren–Chriss framework uses linear impact functions for both its permanent and temporary components. The quantitative finance notes at qcaml.com walk through Kyle's lambda and the linear result, and the Bertsimas and Lo full text on ar5iv sets out the linear permanent impact model explicitly.
But the same literature records where linearity breaks down, and this page discloses those limits rather than hiding them:
- Impact is usually sublinear. Empirical work finds impact grows closer to the square root of participation than to participation itself (the square-root law, Δp ≈ σQ/V). A trade that is 4% of volume does not move the price four times as much as a 1% trade in real markets; this calculator says it does.
- Volatility matters. Real impact models scale with the asset's volatility: the same participation in a volatile small-cap costs far more than in a calm large-cap. This model has no volatility input at all.
- Permanent versus temporary. Almgren–Chriss distinguishes permanent impact (the lasting information effect) from temporary impact (the liquidity cost that decays as the order book refills), as explained in the reinforcement-learning extension of Almgren–Chriss on ar5iv. This calculator gives one number and does not split the two.
- Execution speed and the book. How fast you trade and what the order book looks like change the realized impact enormously. Professional tools such as the Kissell Research Group market impact model in MATLAB or the LSEG market impact simulations build those in; this calculator intentionally does not.
- Illiquidity as a ratio. Amihud's illiquidity measure, the daily ratio of absolute return to dollar volume, is the academic cousin of this tool's logic: how much the price moves per unit of trading. NYU Stern's V-Lab documentation states the intuition directly: a security is less liquid if a given trading volume generates a greater price move.
Use this calculator as the first question, not the last: what fraction of the volume would I be? If the answer is 0.1%, impact is noise and any model agrees. If the answer is 10%, treat the linear estimate as an upper bound and reach for a real transaction cost model before trading. Thin-spread strategies are the most exposed: the arbitrage profit calculator shows how narrow the margins are that impact has to erase.
What competing calculators miss
Price impact tools split into camps, and none offers the simple four-input equity estimate this page provides:
- DeFi perpetual calculators (GMX docs priceImpact): precise skew-based impact for perpetual DEX positions, with pool balances and capped impact factors. Developer-grade, crypto-only, and useless for an equity order.
- DEX swap calculators (Balancer docs, CryptoYaan slippage calculator): constant-product and market-price models for token swaps. They answer "how much will this swap move the pool", not "how much will my equity order move the stock".
- Institutional TCA (MATLAB Kissell Research Group, LSEG simulations): the serious tools, with volatility, spread, and market-structure inputs. They need data feeds, licenses, and expertise, and none of them is a free in-browser estimator.
- Chart indicators (TradingView volume-vs-price-impact Z-score): these measure impact after the fact, candle by candle, to detect accumulation or weak breakouts. They describe what happened; they do not estimate what your order will do.
- The gap this page fills: a pre-trade estimate from four numbers you already know, with the linear participation assumption stated openly, the direction signed honestly, and the model's limits disclosed instead of buried. It will not replace a TCA desk, and it does not pretend to.
Frequently asked questions
Price impact is the change in a security's price caused by your own order. A large buy order consumes the available sell orders, pushing the price up before the trade completes; a large sell order does the reverse. It is a transaction cost you pay to the market for demanding immediate liquidity.
It uses the linear participation formula PI = (V × P × D) ÷ T, where V is your trade volume, P is the price, D is the direction (+1 for buy, −1 for sell), and T is the total volume available. The result is the estimated per-share impact in dollars. Dividing by the price gives the impact percentage.
Direction sets the sign of the impact. A buy (+1) produces upward pressure and a sell (−1) produces downward pressure. The headline dollar figure is shown as an absolute value, and the label underneath tells you whether the pressure is upward or downward.
Your trade volume divided by the total volume available, as a percentage. It is also called the participation rate. A 10,000-share order against 1,000,000 shares of available volume is a 1.00% participation rate, which this model turns directly into a 1.0000% price impact.
That is the model's defining assumption: because PI = (V × P × D) ÷ T, dividing by P leaves (V × D) ÷ T, which is your signed participation rate. Real markets are usually sublinear: empirical work finds impact grows closer to the square root of participation, so large trades move prices less than this linear model says and small trades can move them more than it says.
Two rules. Every field must hold a valid value, or the calculator stops with "Please enter valid values for all fields". And your trade volume cannot exceed the total volume available, because you cannot take more liquidity than exists; that triggers "Volume traded cannot exceed total volume available".
No, but they are related. Slippage is the gap between the price you expected and the price you actually got, from all causes: market moves, delays, and your own impact. Market impact is the part of slippage your own order caused by consuming liquidity. This calculator estimates only the impact part.
No. Professional transaction cost analysis adds volatility, the bid-ask spread, order-book depth, and execution timing, using models such as Almgren–Chriss or the Kissell framework. This calculator is a first-order planning estimate: it tells you roughly how much of the volume you would be, and what that implies under a simple linear model.
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References
- Quantitative Finance with OCaml. Market microstructure: Kyle's model, Kyle's lambda, and the empirical square-root law of market impact. Accessed October 23, 2026.
- Bertsimas, D. and Lo, A. Optimal control of execution costs for portfolios, ar5iv (linear permanent impact model). Accessed October 23, 2026.
- Almgren, R. and Chriss, N. framework, as extended in A reinforcement learning extension to the Almgren–Chriss framework for optimal trade execution, ar5iv (permanent vs temporary impact). Accessed October 23, 2026.
- London Stock Exchange Group Developer Portal. Market impact calculations. Accessed October 23, 2026.
- MathWorks. marketImpact: estimate price movement due to order or trade (Kissell Research Group). Accessed October 23, 2026.
- Balancer. Price impact (swap price impact calculation). Accessed October 23, 2026.
- GMX. priceImpact: estimate price impact for perpetual positions. Accessed October 23, 2026.
- DevisKerri. Volume vs Price Impact Z-Score indicator, TradingView. Accessed October 23, 2026.
- NYU Stern Volatility Lab. Historical illiquidity documentation (Amihud ILLIQ measure). Accessed October 23, 2026.
- U.S. Securities and Exchange Commission. Responses to frequently asked questions concerning Rule 606 of Regulation NMS (order routing and execution quality). Accessed October 23, 2026.
- Amihud, Y. Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets 5 (2002) 31–56. Accessed October 23, 2026.