Spread & Sizing Guide
Understanding Spreads
Spreads are measured in basis points (bps). 1 bps = 0.01% of price. For a $100,000 BTC, 1 bps = $10. There are several spread parameters:
- Inner spread — Distance from mid price to your closest orders. Tighter = more fills, less profit per trade but the profit still compounds.
- Level spacing — Gap between consecutive orders in the ladder. Determines how spread out your liquidity is.
- Number of levels — How many orders per side. More levels = more coverage but more capital tied up.
Per-Market Recommendations
| Market | Inner Spread | Level Spacing | Levels | Notes |
|---|---|---|---|---|
| BTCUSD | 3-6 bps | 1-2 bps | 4-8 | Deepest liquidity, can run tight |
| ETHUSD | 4-8 bps | 1-3 bps | 4-8 | Good liquidity, slightly wider than BTC |
| SOLUSD | 6-12 bps | 2-4 bps | 3-6 | Medium liquidity, needs wider spreads |
| XRPUSD | 8-15 bps | 3-5 bps | 3-6 | Medium liquidity, tick size matters |
| HYPEUSD | 10-20 bps | 4-6 bps | 3-5 | Lower liquidity, wider is safer |
| SUIUSD | 10-18 bps | 3-5 bps | 3-5 | Similar to HYPE, medium volume |
| AAVEUSD | 12-20 bps | 5-8 bps | 3-5 | Lower volume, conservative spacing |
| ENAUSD | 15-25 bps | 5-8 bps | 3-4 | Low liquidity, wide spreads needed |
Sizing Your Orders
Order size should be proportional to your total capital and the market's liquidity:
| Account Size | Order Size Range | Rationale |
|---|---|---|
| $500 - $2k | $25 - $100 | Small orders, learn the mechanics |
| $2k - $10k | $50 - $300 | Moderate size, capture real spreads |
| $10k - $50k | $100 - $1,000 | Larger orders for meaningful volume |
| $50k+ | $200 - $2,000 | Scale with market depth |
Spread Formulas
Understanding how orders are placed:
Bid Price = Oracle Price - (Inner Spread / 2) - Inventory Skew
Ask Price = Oracle Price + (Inner Spread / 2) + Inventory Skew
Level N Bid = Bid Price - (N * Level Spacing)
Level N Ask = Ask Price + (N * Level Spacing)
Tips
Spread calibration matters
- Too tight = more fills but more adverse selection (getting picked off)
- Too wide = fewer fills, missed opportunities
- Start wider and tighten gradually based on fill quality
- Different times of day have different optimal spreads (Asian session vs US open)