What's your rationale for comparing costs for anything other than full execution?https://twitter.com/TheBlock__/status/1254436086060929024 …
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Replying to @hasufl
Because measuring full execution for all these exchanges would be quite difficult. You’re welcome to take a shot though if you want
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Replying to @lawmaster
Totally agree. And I don't think any lesser analysis allows the conclusion that an exchange is "the cheapest".
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Replying to @hasufl
How would you approach this though? Costs of execution will be variable across time.doing something like a daily average or something?
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Replying to @lawmaster
Well, for starters I would analyze orderbook depth across exchanges together with taker fees. That should allow us to compute execution cost for various order sizes. Repeated across some period of time it should be fairly representative?
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Replying to @hasufl
Yea I was thinking something similar. Difference is that that would likely be a month long project vs. one day project and I suspect it wouldn’t show much different results
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Replying to @lawmaster
can you not get historic orderbook data? I don't think you have to scrape it all by yourself
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Replying to @hasufl @lawmaster1 reply 0 retweets 0 likes
It's tricky one. We are working on a BitTorrent like market data distribution system that allows us to share book snapshots every 5 secs or so. At the moment we can't offer it as we would need to reconstruct it from a DB with many tens of billions of records
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