On the other hand, there is only one way for a price level in the order book to increment in quantity: a resting limit order gets posted. Both increments and decrements in the order book reveal private information of market participants forex bot python and thus provide short-term price signal.
Right now most price indices take trade data from multiple exchanges and aggregate them together to get a volume-weighted robo trade software average price. Tradeblock indices, in particular, also add penalties to exchange weights for inactivity and for price deviations away from the rest of the pack. On forex bot python GDAX, with a 0 bps maker fee and 30 bps taker fee, a printed trade at $4000BTC hitting the offer side forex bot python is effectively a seller selling at forex tester ichimoku $4000BTC and a buyer buying at $4012BTC. The “fair price” of this trade should be closer to $4006BTC rather than what was actually printed. On the other hand, because Bittrex’s fees of 25bps are symmetrically applied to both makers and takers, the fair price is the printed price.
Forex bot python Systems are very.In other words, a print of $4000BTC is simple powerful forex strategy effectively a buyer buying at $4010BTC and a seller selling at $3990BTC which averages out to the print itself. So, from a price discovery standpoint, ticker tapes are auto trading programs not directly comparable between exchanges and instead should be netted forex bot python of fees and standardized when constructing a price index. Of course, there are some complications here because of volume-based fee tiers, which may increase or decrease the maker-taker fee forex bot python asymmetry as they are climbed so we can’t arbitrage-ea.com review know for sure where buyers bought forex bot python and where sellers sold. First, price discovery is limited and in some ways schizophrenic on exchanges with strong maker-taker fee asymmetry.
Assuming most accounts on GDAX are at the 030 bps maker-taker fee tier and noticing that GDAX often has 1 penny spreads on their BTCUSD book, each trade hitting printing at the bid is approximately “fair value” forex bot python trading at 15bps below spot and each trade printing at the offer is approximately “forex fair bot python value” trading at 15bps above spot.
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