# Results: BTCUSDT (USDT-M perpetual futures, public exchange archive), 2024-03-21 .. 2024-03-30 Joins simulated: 7,813,548 (10 days, both sides). Own size 0.01 BTC. ## Fill rate overall | side | joins | naive_fill | proxy_fill | proxy_via_through | proxy_at_p_only | gap_pp | |:-------|-------------:|-------------:|-------------:|--------------------:|------------------:|---------:| | ask | 3901967.0000 | 0.4037 | 0.2725 | 0.1754 | 0.0971 | 13.1160 | | bid | 3911581.0000 | 0.4009 | 0.2712 | 0.1752 | 0.0960 | 12.9696 | | all | 7813548.0000 | 0.4023 | 0.2719 | 0.1753 | 0.0966 | 13.0427 | Median time-to-fill (proxy): 25 ms; (naive, first touch): 21 ms. Proxy p25/p75: 4/199 ms. ## By hour of day (UTC) | hour | joins | naive_fill | proxy_fill | proxy_via_through | proxy_at_p_only | gap_pp | |-------:|------------:|-------------:|-------------:|--------------------:|------------------:|---------:| | 0 | 306774.0000 | 0.3874 | 0.2643 | 0.1711 | 0.0931 | 12.3156 | | 1 | 241235.0000 | 0.3839 | 0.2596 | 0.1660 | 0.0935 | 12.4323 | | 2 | 211711.0000 | 0.3907 | 0.2670 | 0.1711 | 0.0959 | 12.3730 | | 3 | 256954.0000 | 0.3964 | 0.2702 | 0.1719 | 0.0983 | 12.6170 | | 4 | 230104.0000 | 0.3919 | 0.2676 | 0.1710 | 0.0966 | 12.4270 | | 5 | 206721.0000 | 0.4042 | 0.2740 | 0.1706 | 0.1034 | 13.0214 | | 6 | 212069.0000 | 0.4016 | 0.2700 | 0.1685 | 0.1015 | 13.1603 | | 7 | 259255.0000 | 0.4123 | 0.2821 | 0.1726 | 0.1094 | 13.0192 | | 8 | 277792.0000 | 0.4059 | 0.2751 | 0.1708 | 0.1043 | 13.0828 | | 9 | 239897.0000 | 0.4073 | 0.2735 | 0.1721 | 0.1014 | 13.3832 | | 10 | 252050.0000 | 0.4046 | 0.2712 | 0.1688 | 0.1023 | 13.3489 | | 11 | 232492.0000 | 0.4064 | 0.2719 | 0.1702 | 0.1017 | 13.4495 | | 12 | 274907.0000 | 0.4085 | 0.2711 | 0.1667 | 0.1044 | 13.7410 | | 13 | 645117.0000 | 0.4105 | 0.2759 | 0.1840 | 0.0920 | 13.4532 | | 14 | 848716.0000 | 0.4093 | 0.2746 | 0.1842 | 0.0904 | 13.4720 | | 15 | 593068.0000 | 0.4080 | 0.2742 | 0.1792 | 0.0950 | 13.3791 | | 16 | 477147.0000 | 0.4057 | 0.2735 | 0.1765 | 0.0969 | 13.2202 | | 17 | 407935.0000 | 0.4027 | 0.2725 | 0.1774 | 0.0951 | 13.0178 | | 18 | 342855.0000 | 0.3999 | 0.2700 | 0.1773 | 0.0927 | 12.9836 | | 19 | 302954.0000 | 0.3887 | 0.2671 | 0.1781 | 0.0890 | 12.1566 | | 20 | 290253.0000 | 0.3945 | 0.2681 | 0.1760 | 0.0921 | 12.6386 | | 21 | 201924.0000 | 0.4184 | 0.2845 | 0.1786 | 0.1059 | 13.3912 | | 22 | 263388.0000 | 0.3886 | 0.2658 | 0.1723 | 0.0935 | 12.2800 | | 23 | 238230.0000 | 0.3953 | 0.2680 | 0.1677 | 0.1003 | 12.7301 | ## By volatility tercile (trailing 5-min realized range of mid, bps) | vol_tercile | min | max | |:--------------|------:|------:| | low | 2.8 | 22.7 | | mid | 22.7 | 39.2 | | high | 39.3 | 157.6 | | vol_tercile | joins | naive_fill | proxy_fill | proxy_via_through | proxy_at_p_only | gap_pp | |:--------------|-------------:|-------------:|-------------:|--------------------:|------------------:|---------:| | low | 2604517.0000 | 0.4015 | 0.2713 | 0.1707 | 0.1006 | 13.0174 | | mid | 2605361.0000 | 0.3997 | 0.2700 | 0.1726 | 0.0974 | 12.9726 | | high | 2603670.0000 | 0.4057 | 0.2743 | 0.1826 | 0.0917 | 13.1381 | ## By day | day | joins | naive_fill | proxy_fill | proxy_via_through | proxy_at_p_only | gap_pp | |:-----------|-------------:|-------------:|-------------:|--------------------:|------------------:|---------:| | 2024-03-21 | 1222781.0000 | 0.3807 | 0.2573 | 0.1749 | 0.0825 | 12.3399 | | 2024-03-22 | 1231923.0000 | 0.3959 | 0.2646 | 0.1751 | 0.0895 | 13.1251 | | 2024-03-23 | 606056.0000 | 0.4048 | 0.2739 | 0.1716 | 0.1023 | 13.0914 | | 2024-03-24 | 661446.0000 | 0.4090 | 0.2762 | 0.1742 | 0.1021 | 13.2715 | | 2024-03-25 | 994037.0000 | 0.4086 | 0.2766 | 0.1714 | 0.1052 | 13.2011 | | 2024-03-26 | 780143.0000 | 0.4147 | 0.2826 | 0.1770 | 0.1056 | 13.2145 | | 2024-03-27 | 1024706.0000 | 0.4068 | 0.2772 | 0.1829 | 0.0943 | 12.9513 | | 2024-03-28 | 675222.0000 | 0.3974 | 0.2664 | 0.1685 | 0.0979 | 13.0942 | | 2024-03-29 | 424944.0000 | 0.4187 | 0.2825 | 0.1794 | 0.1031 | 13.6185 | | 2024-03-30 | 192290.0000 | 0.4240 | 0.2884 | 0.1825 | 0.1059 | 13.5618 | ## Toy mean-reversion maker P&L per day (USD, 0.01 BTC per fill) | day | naive_fee0bps | naive_fee1bps | proxy_fee0bps | proxy_fee1bps | |:-----------|----------------:|----------------:|----------------:|----------------:| | 2024-03-21 | -20061.35 | -51053.68 | -18230.66 | -39177.12 | | 2024-03-22 | -20347.53 | -51678.90 | -18370.72 | -39316.24 | | 2024-03-23 | -10546.90 | -26397.82 | -9587.99 | -20312.05 | | 2024-03-24 | -11167.26 | -28875.48 | -10314.84 | -22277.09 | | 2024-03-25 | -17538.93 | -45508.38 | -16440.48 | -35377.36 | | 2024-03-26 | -14988.35 | -37745.47 | -14048.88 | -29555.48 | | 2024-03-27 | -18233.68 | -47318.67 | -17039.08 | -36864.63 | | 2024-03-28 | -11051.21 | -29989.00 | -10238.10 | -22934.73 | | 2024-03-29 | -7019.33 | -19471.76 | -6577.06 | -14979.43 | | 2024-03-30 | -3646.79 | -9355.09 | -3317.09 | -7199.49 | | total | -134601.32 | -347394.23 | -124164.90 | -267993.63 | Per-fill diagnostics (before fees): | | fills | mean_bps_per_fill | share_target | share_stop | share_timeout | |:-----------------------------|------------:|--------------------:|---------------:|-------------:|----------------:| | naive | 3143407.000 | -0.633 | 0.586 | 0.342 | 0.073 | | proxy | 2124308.000 | -0.864 | 0.552 | 0.373 | 0.075 | | proxy: level swept (through) | 1369817.000 | -1.043 | 0.527 | 0.399 | 0.073 | | proxy: queue cleared at P | 754491.000 | -0.539 | 0.596 | 0.326 | 0.078 | | naive only (no proxy fill) | 1019099.000 | -0.153 | 0.657 | 0.276 | 0.066 | ![fill by hour](article-4-fill-by-hour.png) ![cum pnl](article-4-cum-pnl.png)