Orderbook

The orderbook feature to enter a trade allows you to consider current liquidity in the orderbook. It is designed to avoid slippage and optimize the execution of large market orders.

The bot will execute a market order considering a maximum slippage. However, you may not fill the full initial position desired.

1 tick is equivalent to 0.5$. If Market price is 20 000$, 1 tick on the buy side is 19 999,5$, 1 tick on the sell side is 20 000,5$.

Ex: [Constant entry size: 10M $] [A size of 100% of the first 4 orderbook ticks]

The bot triggers a market order long position and wants to open a maximum size of 10M$ but with a maximum slippage of 2$ which is equivalent to 4 ticks. However, Market price is 18 870$ and liquidity on the sell side up to 18 872$ (18 870$ market price + 2$ max slippage) is 1 691 907$. The bot will then execute an equivalent of a market order (limit buy price above market price) of 1 691 907$ at 18 872$ to immediatly fill a long position with a maximum slippage of 2$.

With a normal market buy order of 10M$, the slippage would be more than 20$ and the strategy may no longer be worth it.