Skip to Content
How we calculateSlippage & price gap

Slippage & price gap

Slippage

A market order of size N does not fill at the best price: it eats into the order book level by level. In the review we walk the live order book of each venue for your exact size:

  • Entry — the ask side for the long leg, the bid side for the short leg.
  • Exit — the opposite side: you will sell the long and buy back the short.

Slippage is the difference between that average fill and the mid price, in dollars, for both legs, in and out. The exit estimate uses today’s book; a thinner book at exit costs more.

Orders are sent as marketable limits with a worst-price band of 0.15 % from the price we quoted. A fill beyond it is refused, not taken. If a quoted leg would already slip more than that, the trade is not opened.

Closing is different: getting out matters more than the price it costs. A close starts at 0.15 % and widens with each retry, up to 0.45 %; an emergency close starts at 0.45 %.

New trades are never opened on an order book older than 3 seconds. Closing still works when market data is stale.

Price gap (basis)

The two legs trade the same coin on different venues, and their prices are rarely identical. Each venue’s price sits slightly above or below the others’ — and that offset is usually persistent: some venues trade a few basis points rich or cheap all the time.

So the gap is not measured against zero but against the pair’s own 7-day average:

price_gap_edge = (gap_now − gap_7d_average) × size
  • Entering when the gap is better than usual (long venue unusually cheap, short venue unusually rich) is an edge: you should gain as the gap returns to normal.
  • Entering when it is worse than usual is a cost.

The edge is only used when there are at least 24 hours of price history for both venues and both prices are fresh; otherwise it is left at zero.

Balancing the legs

Both legs are sized to the same number of coins, not the same dollar amount, so price moves cancel exactly. Venues have different lot sizes; if the two legs cannot be matched closely enough, the trade is refused rather than opened unbalanced.

FeesMarket hours