What you will accomplish
- Create a fair same-time, same-size comparison
- Calculate volume-weighted executable price
- Include fees and relevant costs
- Record fill, reject, latency, and quote freshness
Before you begin
- A defined symbol, side, and quantity
- Access to Quote.Trade and one comparison venue
- Synchronized timestamps
- A spreadsheet or script using decimal arithmetic
Prices and order values are shown in USD. The collateral currency, such as USDC or USDT, and its blockchain network are separate settings. Check the live account and market settings for allowed currencies, minimum size, and leverage.
Use the same market, side, size, and time
Record the market, side, exact amount, payment currency, time window, maximum quote age, and all relevant costs. Compare Buy with the ask side and Sell with the bid side.
Record the Quote.Trade price and result
Record the all-in USD price, available amount, response time, and whether the request filled, was rejected, or returned only public market data.
Get an executable price from the comparison venue
Use a firm quote for the same amount or calculate the price from the correct side of the public order book. Include commissions and other relevant costs.
Calculate VWAP only when depth is sufficient
The helper below raises an error when the book cannot fill the full requested quantity.
from decimal import Decimal, InvalidOperation
def vwap(levels, requested_qty: str) -> Decimal:
try:
requested = Decimal(requested_qty)
except InvalidOperation as exc:
raise ValueError('invalid requested quantity') from exc
if not requested.is_finite() or requested <= 0:
raise ValueError('requested quantity must be finite and positive')
remaining = requested
cost = Decimal('0')
for price, qty in levels:
try:
level_price = Decimal(str(price))
level_qty = Decimal(str(qty))
except InvalidOperation as exc:
raise ValueError('invalid depth level') from exc
if not level_price.is_finite() or not level_qty.is_finite() or level_price <= 0 or level_qty < 0:
raise ValueError('invalid depth level')
take = min(remaining, level_qty)
cost += take * level_price
remaining -= take
if remaining == 0:
break
if remaining != 0:
raise ValueError(f'insufficient depth; unfilled quantity={remaining}')
return cost / requestedCompare final all-in outcomes
For BUY, lower total cost is better; for SELL, higher proceeds are better. Report rejected or insufficient-size outcomes separately from price.
Save the prices, sizes, and timestamps used
Store endpoint/venue, market, side, quantity, levels or firm quote, timestamps, fees, result, and calculation code without credentials.
Common problems and fixes
The comparison venue lacks enough depth
Record the order as not fully executable at the observed levels; do not extrapolate missing liquidity.
Quotes were captured seconds apart
Label the result invalid or widen the methodology; volatile markets make asynchronous screenshots misleading.
Payment or funding currencies differ
Convert both results to the same currency using a price from the same time, and show the conversion in the comparison.