1. Real-time Snapshots
We take a snapshot of the order book for every supported exchange every 30 seconds. This ensures that our data is always fresh and reflects the current state of market liquidity.
2. Slippage Calculation
For each snapshot, we simulate market orders of various sizes ($1k, $10k, $100k). We calculate the slippage by comparing the average execution price against the mid-market price. This tells you how much price impact your trade would have.
3. Fee Integration
To give you the true cost of execution, we add the exchange's taker fees to the slippage.
Current Fee Structure:
- Hyperliquid4.5 bps
- Paradex0 bps
- Lighter0 bps
- Extended2.5 bps
4. Historical Aggregation
We aggregate these data points over different time periods (1h, 6h, 24h, 1 week) to show you the Average Execution Cost. This helps you identify which exchange consistently offers the best liquidity for your trade size.