◈ Labs
Execution cost
v1.0What will a market order of my size really cost on each venue?Review: researchSign in to run Labs models
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Sign in →How it works and its limits
- Inputs
- Minute order-book snapshots (100 levels per side) for five venues from ArcDelta, order notional.
- Outputs
- Spread, slippage curve from $1k to $1M, median and stressed (p90) cost, taker fee and round-trip cost per venue, best venue.
- Evidence
- The trailing two-hour median predicted the cost one hour later with a median error of 6.6% ($10k) to 9.3% ($500k) across 8 instruments and 5 venues.
- Limits
- Only visible depth: hidden liquidity and queue position are unknown. Fees are standard taker tiers.
- Minimum data
- One order-book snapshot per venue; two hours for the median.
- API
- GET /labs/execution-cost?symbol=BTCUSDT¬ional=100000