Blog
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What open interest counts
Open interest counts contracts outstanding, not trades. Two identical trades can raise it, lower it, or leave it alone, depending on who was closing.
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How a trailing stop moves
A trailing stop's level is derived from an extreme of a reference price and an offset. The extreme only ratchets one way, and it is not shown to you.
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Why an order is rejected
A venue validates an order through gates in a fixed order and reports only the first one it fails. That is why the reason changes as you fix things.
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What a liquidation actually is
A liquidation is the venue closing a position because margin fell below a threshold. It is a forced order, not a price guarantee, and it has its own cost.
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Self-trade prevention and cancel-on-disconnect
Some of your orders are removed by the venue rather than by you. Two rules do most of it, and either can take an order you were relying on.
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Perpetuals and the funding rate
A futures contract with no expiry needs something to keep it near spot. Funding is that mechanism: a payment between traders, not to the venue.
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Maker, taker, and what you actually pay
The headline fee is one of at least four costs in a round trip. The others are the spread, market impact, and the difference between the two fee rates.
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Slippage and market impact
One is the gap between the price you expected and the price you got. The other is the part of that gap your own order caused. They are not the same.
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Order types and what each guarantees
You can guarantee your price or guarantee your execution, never both. Every order type is a different position on that single trade-off.
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What an order book is
Two sorted queues of unexecuted intentions, and a matching rule. Almost everything surprising about execution follows from that structure.
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One-cancels-other and bracket orders
A linked order group is two or more ordinary orders plus a rule. The rule runs after a fill, not at the same instant, and the gap is where groups break.
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What price a stop order watches
A stop trigger compares a reference price to a level. Which price the venue uses decides whether it fires, and the chart is often not that price.
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Slippage tolerance and protective price caps
A cap on how far an order may walk converts an execution guarantee into a price guarantee. It does not add safety; it moves which risk you are holding.
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Order books and automated market makers
One matches your order against someone else's. The other prices you against a formula and a pool. The difference shows up in every cost you pay.
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Tick size and minimum order size
Prices and quantities on a venue come in discrete steps. Those steps set a floor on the spread, and they are why some orders are rejected outright.
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Allocation rules: price-time and pro-rata
When several orders rest at the same price, a rule decides who fills. Price-time is one answer, pro-rata another, and they reward different things.
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What amending an order actually does
Changing a resting order's price or size is usually a cancel and a replace. That resets your place in the queue, and some changes do not.
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The order lifecycle, from send to fill
An order passes through several distinct states, and the messages you see are reports about transitions. Most confusing screens are a state you skipped.
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How a matching engine works
A venue is a queue and a rule. Orders enter a single sequence and are matched one at a time, deterministically. Most timing surprises are that shape.
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Why two venues quote different prices
There is no consolidated book in crypto. Each venue has its own book, its own participants and its own price, and nothing forces the numbers to agree.
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What venue surveillance looks for
Venues monitor their own books for patterns that fake supply and demand. Knowing the shapes is how a reader recognises being on the wrong side of one.
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Linear and inverse contracts
The currency a contract is sized and settled in changes the shape of its payoff. One is a straight line in the quote currency and the other is not.
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Call auctions and uncrossing
An auction collects orders without matching, then computes the single price that trades the most quantity. A different mechanism from continuous matching.
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Price bands and trading halts
Venues refuse prices outside a permitted range, and can stop matching entirely. Both are rules, not faults, and both change what a resting order means.
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Snapshots, increments, and the book on your screen
A venue publishes changes, not state. The book you look at is a reconstruction: stale by construction, thinned by design, repairable only from a snapshot.
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What the trade tape shows
A print is one completed match: price, size, time, often an aggressor flag. It records what happened, and it is not a count of participants.
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Latency and queue position
Your place in the queue at a price level is decided by arrival at the engine. Latency decides arrival, and neither of them is visible to you.
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Hidden orders and displayed depth
Some resting quantity is not shown. Iceberg and fully hidden orders make displayed depth a lower bound, and the gap is not measurable from the book.
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What the spread pays for
The gap between bid and ask is not arbitrary. It compensates whoever is quoting for three specific risks, and it widens when any of them rises.
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The three dimensions of liquidity
Liquidity is not one number. Tightness, depth and resiliency vary independently, and a book can look excellent on one while failing on another.