In simple terms
In an order book, a sweep is an aggressive execution that consumes the quantity available at the best price and, when that quantity is insufficient, continues through later levels. The result may consist of several fills at different prices.
Example: the best ask offers 300 units at 10.00 and the next level offers 500 at 10.05. A market buy for 400 units may fill 300 at 10.00 and 100 at 10.05.
How to read it
The sweep shows that executable flow exceeded the quantity available at the crossed prices. The difference between the expected price and the average fill contributes to slippage. Interpretation requires the venue, timestamp, displayed depth, and feed rules.
In some markets, especially options, “sweep” can also refer to linked orders routed quickly across several venues. The intended use should therefore be stated.
Limit
A sweep does not by itself prove urgency, inside information, or “institutional size.” It may come from one order, simultaneous orders, or an execution algorithm. The visible book does not always contain all available liquidity.
Sources
- U.S. SEC, Order Book Reporting Methods and Their Impact on Some Market Activity Measures — distinguishes order and level feeds and describes visible executions, amendments, and cancellations.
- NYSE, NYSE Pillar Depth — provides an official example of a feed with multiple bid and offer levels, quantities, and venue attribution.
- FINRA, OTC Tier Size Analysis — illustrates a hypothetical order that exceeds the quantity at the best ask and fills across two levels.