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Thank you, that makes sense. So the visible 200-400ms is mostly the failed/unmatched path, not the true processing time for a fill.
For small marketable BUYs, would you recommend pricing to sweep deeper levels up to my max acceptable price, and requiring much more visible depth than target size, like 1.5x-2x? Or is the crypto CLOB so unstable that even visible depth is not reliable enough?
Thank you, that makes sense. So the visible 200-400ms is mostly the failed/unmatched path, not the true processing time for a fill.
For small marketable BUYs, would you recommend pricing to sweep deeper levels up to my max acceptable price, and requiring much more visible depth than target size, like 1.5x-2x? Or is the crypto CLOB so unstable that even visible depth is not reliable enough?
Thanks, that makes sense. I’m using marketable FAK BUY orders, not posting maker orders.
Right now the price cap is close to the executable ask/depth shown by the WS book, so it may be too tight when the book moves or itode delay applies. For these 5m BTC Up/Down markets, would you recommend setting the FAK BUY price to the worst acceptable price across the depth I want to sweep, rather than near top ask?
For example, for a ~$20 order, should I require 1.5x-2x visible depth and submit with a higher price cap, as long as the overall trade is still profitable? Or is there another practical buffer you use to reduce “no orders found to match with FAK order”?
Thanks, that makes sense. I’m using marketable FAK BUY orders, not posting maker orders.
Right now the price cap is close to the executable ask/depth shown by the WS book, so it may be too tight when the book moves or itode delay applies. For these 5m BTC Up/Down markets, would you recommend setting the FAK BUY price to the worst acceptable price across the depth I want to sweep, rather than near top ask?
For example, for a ~$20 order, should I require 1.5x-2x visible depth and submit with a higher price cap, as long as the overall trade is still profitable? Or is there another practical buffer you use to reduce “no orders found to match with FAK order”?
Hi, quick CLOB API question: for BTC Up/Down 5m markets, I’m seeing a high unmatched rate for marketable FAK/FOK BUY orders via createAndPostMarketOrder, even when WS book data looked fresh.
Typical book-to-submit delay is ~200-400ms. Is this mostly due to itode/taker delay? What book freshness and depth buffer do you recommend to reduce “no orders found to match with FAK order”?
Hi, quick CLOB API question: for BTC Up/Down 5m markets, I’m seeing a high unmatched rate for marketable FAK/FOK BUY orders via createAndPostMarketOrder, even when WS book data looked fresh.
Typical book-to-submit delay is ~200-400ms. Is this mostly due to itode/taker delay? What book freshness and depth buffer do you recommend to reduce “no orders found to match with FAK order”?
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