  The article is an empirical study of market impact through order book events.
It describes a mechanism of extracting an average participation rate and a
market impact of small orders which represent individual slices of large
metaorders. The study is based on tick data for futures contracts. It is shown
that the impact could be either linear or a concave function as a function of
trading volume, depending on the instrument. After normalisation, this
dependency is shown to be very similar for a wide range of instruments.
  A simple yet effective model for market impact estimation is proposed. This
model is linear in nature and is derived based on straightforward
microstructure reasoning. The estimation shows satisfactory results for both
concave and linear market impact volume dependencies.
