When an investor clicks “Buy at Market”, they may think they’ll buy the entire quantity at the price shown on the screen.

But the displayed price doesn’t necessarily mean there’s enough quantity available to fill the entire order at that level.

That’s where the order book comes in.

Starting October 4, 2026, Saudi Exchange’s market order mechanism will allow an order to continue executing across multiple price levels, within a range of up to five ticks, if the quantity available at the best price isn’t enough to fill the entire order.

To understand why this change matters, we first need to know what happens behind the trading screen.

What is an order book?

An order book is a list of the buy and sell orders in the market at a given moment.

For example, there might be:

100 shares offered for sale at SAR 20.00,
then 300 shares at SAR 20.02,
then 500 shares at SAR 20.04.

If an investor enters a market order to buy just 100 shares, the entire quantity may be filled at SAR 20.

But what if they want to buy 600 shares?

There won’t be enough quantity available at the best price.

In that case, the order must move to the next price levels to fill the remaining quantity, depending on what the system allows.

Saudi Exchange displays the top five bid and ask price levels in its market depth data. The tick size varies depending on the price of the security.

What’s the difference between a market order and a limit order?

With a limit order, the investor says:

“I want to buy the stock, but at no more than SAR 20.”

The investor controls the price, but there’s no guarantee the entire quantity will be filled.

With a market order, the investor prioritizes speed and execution, accepting the best prices available in the order book.

So the investor gives up some control over the price in exchange for a greater chance of quick execution.

That’s why market orders are more sensitive to market depth and liquidity.

What is slippage?

If an order starts executing at SAR 20, then moves to SAR 20.02 and SAR 20.04 because there isn’t enough quantity available, the final average price the investor pays will be higher than the first price they saw.

This phenomenon is called slippage.

It doesn’t necessarily mean there was an error.

It simply reflects the fact that there wasn’t enough quantity available at the initial price.

The more liquid a stock is, the larger the quantities usually available at nearby price levels, and the smaller the price impact of an order.

For a less liquid stock, a relatively large order may move quickly through several price levels.

Why did the mechanism set a limit of five ticks?

The idea is to balance two things:

Increasing the chance of executing a market order while preventing execution from extending too far beyond the best price available when the order is entered.

The system can move to additional price levels, but it won’t continue indefinitely.

The tick size itself varies with the share price. For example, it is one halala for shares priced below SAR 25, and increases gradually as the price moves into higher bands.

So “five ticks” doesn’t always mean five halalas; it depends on the price band the security falls into.

What happens if the entire quantity isn’t filled?

If the order exhausts the available quantities within the specified range and part of it remains unfilled, the remaining quantity becomes a limit order at the last price at which a trade was executed.

This means the system won’t keep chasing prices to more distant levels.

The remaining quantity therefore has a clear stopping point, rather than continuing to execute regardless of how far the price moves.

Liquidity is more than just trading volume

The update highlights an important concept in markets:

Liquidity doesn’t just mean that a stock trades frequently. It also means an investor can execute a suitable quantity without moving the price significantly.

A stock may be actively traded, but the quantity on offer at the moment you enter a large order may be limited.

That’s why investors need to look not only at the last price, but also at the prices and quantities available behind it.

The price we see on screen is only the first level.

The price we actually get may depend on how much depth there is behind that number.

And that’s the key point: A market order prioritizes execution, but it doesn’t guarantee a single price.