Tagged “order-book”
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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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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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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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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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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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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.