Crypto market microstructure explained: order books, order types, spread and depth, slippage and market impact, maker-taker fees, and funding rates.https://quantcoin.co/https://quantcoin.co/blogs/what-open-interest-counts/https://quantcoin.co/blogs/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.Fri, 31 Jul 2026 00:00:00 GMTderivativesexecutionhttps://quantcoin.co/blogs/how-a-trailing-stop-moves/https://quantcoin.co/blogs/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.Thu, 30 Jul 2026 00:00:00 GMTorder-typesexecutionhttps://quantcoin.co/blogs/why-an-order-is-rejected/https://quantcoin.co/blogs/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.Wed, 29 Jul 2026 00:00:00 GMTexecutionorder-typeshttps://quantcoin.co/blogs/what-a-liquidation-actually-is/https://quantcoin.co/blogs/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.Tue, 28 Jul 2026 00:00:00 GMTderivativesexecutionhttps://quantcoin.co/blogs/self-trade-prevention-and-cancel-on-disconnect/https://quantcoin.co/blogs/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.Mon, 27 Jul 2026 00:00:00 GMTorder-typesexecutionhttps://quantcoin.co/blogs/perpetuals-and-the-funding-rate/https://quantcoin.co/blogs/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.Sun, 26 Jul 2026 00:00:00 GMTderivativesfundingexecutionhttps://quantcoin.co/blogs/maker-taker-and-what-you-actually-pay/https://quantcoin.co/blogs/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.Sat, 25 Jul 2026 00:00:00 GMTfeesexecutionorder-bookhttps://quantcoin.co/blogs/slippage-and-market-impact/https://quantcoin.co/blogs/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.Fri, 24 Jul 2026 00:00:00 GMTslippageexecutionliquidityhttps://quantcoin.co/blogs/order-types-and-what-each-guarantees/https://quantcoin.co/blogs/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.Thu, 23 Jul 2026 00:00:00 GMTorder-typesexecutionhttps://quantcoin.co/blogs/what-an-order-book-is/https://quantcoin.co/blogs/what-an-order-book-is/Two sorted queues of unexecuted intentions, and a matching rule. Almost everything surprising about execution follows from that structure.Wed, 22 Jul 2026 00:00:00 GMTorder-bookliquidityhttps://quantcoin.co/blogs/one-cancels-other-and-bracket-orders/https://quantcoin.co/blogs/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.Tue, 21 Jul 2026 00:00:00 GMTorder-typesexecutionhttps://quantcoin.co/blogs/what-price-a-stop-order-watches/https://quantcoin.co/blogs/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.Mon, 20 Jul 2026 00:00:00 GMTorder-typesexecutionhttps://quantcoin.co/blogs/slippage-tolerance-and-protective-price-caps/https://quantcoin.co/blogs/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.Sat, 11 Jul 2026 00:00:00 GMTslippageorder-typesexecutionhttps://quantcoin.co/blogs/order-books-and-automated-market-makers/https://quantcoin.co/blogs/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.Thu, 09 Jul 2026 00:00:00 GMTliquidityorder-bookexecutionhttps://quantcoin.co/blogs/tick-size-and-minimum-order-size/https://quantcoin.co/blogs/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.Wed, 08 Jul 2026 00:00:00 GMTorder-bookexecutionhttps://quantcoin.co/blogs/allocation-rules-price-time-and-pro-rata/https://quantcoin.co/blogs/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.Tue, 07 Jul 2026 00:00:00 GMTorder-bookliquidityhttps://quantcoin.co/blogs/what-amending-an-order-does/https://quantcoin.co/blogs/what-amending-an-order-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.Mon, 06 Jul 2026 00:00:00 GMTorder-typesexecutionhttps://quantcoin.co/blogs/order-lifecycle-from-send-to-fill/https://quantcoin.co/blogs/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.Sun, 05 Jul 2026 00:00:00 GMTexecutionorder-typeshttps://quantcoin.co/blogs/how-a-matching-engine-works/https://quantcoin.co/blogs/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.Sat, 04 Jul 2026 00:00:00 GMTorder-bookexecutionhttps://quantcoin.co/blogs/why-two-venues-quote-different-prices/https://quantcoin.co/blogs/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.Fri, 03 Jul 2026 00:00:00 GMTorder-bookliquidityexecutionhttps://quantcoin.co/blogs/what-venue-surveillance-looks-for/https://quantcoin.co/blogs/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.Thu, 02 Jul 2026 00:00:00 GMTorder-bookexecutionliquidityhttps://quantcoin.co/blogs/linear-and-inverse-contracts/https://quantcoin.co/blogs/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.Wed, 01 Jul 2026 00:00:00 GMTderivativesexecutionhttps://quantcoin.co/blogs/call-auctions-and-uncrossing/https://quantcoin.co/blogs/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.Mon, 29 Jun 2026 00:00:00 GMTorder-bookexecutionliquidityhttps://quantcoin.co/blogs/price-bands-and-trading-halts/https://quantcoin.co/blogs/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.Fri, 26 Jun 2026 00:00:00 GMTexecutionorder-typeshttps://quantcoin.co/blogs/snapshots-increments-and-the-book-on-your-screen/https://quantcoin.co/blogs/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.Wed, 24 Jun 2026 00:00:00 GMTorder-bookexecutionhttps://quantcoin.co/blogs/what-the-trade-tape-shows/https://quantcoin.co/blogs/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.Mon, 22 Jun 2026 00:00:00 GMTorder-bookexecutionliquidityhttps://quantcoin.co/blogs/latency-and-queue-position/https://quantcoin.co/blogs/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.Fri, 19 Jun 2026 00:00:00 GMTexecutionorder-bookhttps://quantcoin.co/blogs/hidden-orders-and-displayed-depth/https://quantcoin.co/blogs/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.Wed, 17 Jun 2026 00:00:00 GMTorder-bookliquidityorder-typeshttps://quantcoin.co/blogs/what-the-spread-pays-for/https://quantcoin.co/blogs/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.Mon, 15 Jun 2026 00:00:00 GMTliquidityfeesorder-bookhttps://quantcoin.co/blogs/the-three-dimensions-of-liquidity/https://quantcoin.co/blogs/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.Fri, 12 Jun 2026 00:00:00 GMTliquidityorder-book