Displayed liquidity disappearing in the instant you try to take it, so the price you clicked is not the price you get.
Some fading is honest. Market makers cancel on new information, and by the time your order arrives the world has changed — a straightforward latency outcome.
Some is not. Size posted with no intent to trade, cancelled the moment it is approached, is phantom-liquidity, and when it is used to create a false impression of demand it crosses into illegal spoofing.
Example: the ladder shows 3,000 offered at 15.20. You send a market buy for 3,000 and fill 400 at 15.20, 900 at 15.22 and 1,700 at 15.25 — an average of 15.2359, nearly 4 cents worse than the screen. The offer at 15.20 reappears seconds later, once you are done.
Original diagrams for the ideas on this page. Illustrative, not real market data.
The bid-ask spread. Buy orders sit below, sell orders above, and the gap between the best bid (50.01) and best ask (50.04) is the spread you pay to cross. Bar length shows the size resting at each price.
Educational only, not advice. Spotted an error? Post in Site Feedback.