# Results: ETHUSDT (USDT-M perpetual futures, public exchange archive), 2024-03-21 .. 2024-03-30 Joins simulated: 7,362,842 (10 days, both sides). Own size 0.01 ETH. ## Fill rate overall | side | joins | naive_fill | proxy_fill | proxy_via_through | proxy_at_p_only | gap_pp | |:-------|-------------:|-------------:|-------------:|--------------------:|------------------:|---------:| | ask | 3685568.0000 | 0.4161 | 0.3029 | 0.2055 | 0.0974 | 11.3204 | | bid | 3677274.0000 | 0.4142 | 0.3020 | 0.2060 | 0.0960 | 11.2162 | | all | 7362842.0000 | 0.4152 | 0.3025 | 0.2058 | 0.0967 | 11.2684 | Median time-to-fill (proxy): 22 ms; (naive, first touch): 23 ms. Proxy p25/p75: 4/191 ms. ## By hour of day (UTC) | hour | joins | naive_fill | proxy_fill | proxy_via_through | proxy_at_p_only | gap_pp | |-------:|------------:|-------------:|-------------:|--------------------:|------------------:|---------:| | 0 | 307957.0000 | 0.3995 | 0.2903 | 0.2007 | 0.0896 | 10.9187 | | 1 | 255641.0000 | 0.3991 | 0.2911 | 0.2037 | 0.0875 | 10.7991 | | 2 | 237520.0000 | 0.4066 | 0.2980 | 0.2083 | 0.0897 | 10.8631 | | 3 | 272375.0000 | 0.4116 | 0.3020 | 0.2082 | 0.0938 | 10.9577 | | 4 | 247850.0000 | 0.4102 | 0.2984 | 0.2028 | 0.0956 | 11.1801 | | 5 | 222475.0000 | 0.4185 | 0.3038 | 0.2024 | 0.1013 | 11.4660 | | 6 | 225569.0000 | 0.4186 | 0.3028 | 0.2003 | 0.1025 | 11.5796 | | 7 | 246478.0000 | 0.4262 | 0.3107 | 0.1997 | 0.1110 | 11.5564 | | 8 | 287172.0000 | 0.4188 | 0.3042 | 0.2020 | 0.1021 | 11.4583 | | 9 | 248771.0000 | 0.4242 | 0.3072 | 0.2031 | 0.1041 | 11.7023 | | 10 | 247972.0000 | 0.4277 | 0.3100 | 0.2059 | 0.1040 | 11.7711 | | 11 | 234515.0000 | 0.4281 | 0.3100 | 0.2044 | 0.1055 | 11.8116 | | 12 | 261858.0000 | 0.4331 | 0.3127 | 0.2041 | 0.1086 | 12.0393 | | 13 | 515435.0000 | 0.4243 | 0.3105 | 0.2117 | 0.0988 | 11.3787 | | 14 | 683767.0000 | 0.4199 | 0.3081 | 0.2125 | 0.0956 | 11.1781 | | 15 | 517057.0000 | 0.4220 | 0.3085 | 0.2103 | 0.0982 | 11.3523 | | 16 | 438069.0000 | 0.4215 | 0.3051 | 0.2086 | 0.0965 | 11.6393 | | 17 | 376721.0000 | 0.4195 | 0.3044 | 0.2085 | 0.0959 | 11.5093 | | 18 | 326316.0000 | 0.3986 | 0.2891 | 0.1990 | 0.0900 | 10.9559 | | 19 | 284277.0000 | 0.3981 | 0.2922 | 0.2074 | 0.0848 | 10.5883 | | 20 | 272343.0000 | 0.3936 | 0.2873 | 0.2005 | 0.0868 | 10.6351 | | 21 | 189522.0000 | 0.4228 | 0.3085 | 0.2096 | 0.0989 | 11.4266 | | 22 | 247054.0000 | 0.3973 | 0.2915 | 0.2023 | 0.0892 | 10.5799 | | 23 | 216128.0000 | 0.4062 | 0.2961 | 0.1993 | 0.0968 | 11.0125 | ## By volatility tercile (trailing 5-min realized range of mid, bps) | vol_tercile | min | max | |:--------------|------:|------:| | low | 3.0 | 25.2 | | mid | 25.2 | 42.1 | | high | 42.1 | 151.5 | | vol_tercile | joins | naive_fill | proxy_fill | proxy_via_through | proxy_at_p_only | gap_pp | |:--------------|-------------:|-------------:|-------------:|--------------------:|------------------:|---------:| | low | 2454591.0000 | 0.4205 | 0.3059 | 0.2054 | 0.1005 | 11.4553 | | mid | 2454687.0000 | 0.4136 | 0.3006 | 0.2042 | 0.0964 | 11.3018 | | high | 2453564.0000 | 0.4114 | 0.3009 | 0.2077 | 0.0932 | 11.0478 | ## By day | day | joins | naive_fill | proxy_fill | proxy_via_through | proxy_at_p_only | gap_pp | |:-----------|-------------:|-------------:|-------------:|--------------------:|------------------:|---------:| | 2024-03-21 | 1207895.0000 | 0.4009 | 0.2909 | 0.2015 | 0.0894 | 11.0003 | | 2024-03-22 | 1240574.0000 | 0.4005 | 0.2896 | 0.2026 | 0.0869 | 11.0872 | | 2024-03-23 | 645492.0000 | 0.4107 | 0.3003 | 0.2046 | 0.0957 | 11.0379 | | 2024-03-24 | 607845.0000 | 0.4143 | 0.3001 | 0.2040 | 0.0960 | 11.4258 | | 2024-03-25 | 766756.0000 | 0.4270 | 0.3127 | 0.2069 | 0.1058 | 11.4339 | | 2024-03-26 | 753118.0000 | 0.4179 | 0.3078 | 0.2124 | 0.0954 | 11.0121 | | 2024-03-27 | 888217.0000 | 0.4189 | 0.3069 | 0.2114 | 0.0955 | 11.2032 | | 2024-03-28 | 592653.0000 | 0.4248 | 0.3095 | 0.2054 | 0.1040 | 11.5364 | | 2024-03-29 | 404900.0000 | 0.4437 | 0.3235 | 0.2081 | 0.1154 | 12.0119 | | 2024-03-30 | 255392.0000 | 0.4429 | 0.3198 | 0.2030 | 0.1168 | 12.3081 | ## Toy mean-reversion maker P&L per day (USD, 0.01 ETH per fill) | day | naive_fee0bps | naive_fee1bps | proxy_fee0bps | proxy_fee1bps | |:-----------|----------------:|----------------:|----------------:|----------------:| | 2024-03-21 | -1253.62 | -2953.19 | -1175.11 | -2408.36 | | 2024-03-22 | -1379.73 | -3063.96 | -1269.27 | -2487.11 | | 2024-03-23 | -723.51 | -1615.69 | -672.39 | -1324.77 | | 2024-03-24 | -660.78 | -1511.56 | -613.29 | -1229.48 | | 2024-03-25 | -818.50 | -1975.40 | -791.36 | -1638.50 | | 2024-03-26 | -851.40 | -1986.77 | -805.86 | -1642.04 | | 2024-03-27 | -962.92 | -2285.96 | -915.23 | -1884.44 | | 2024-03-28 | -593.21 | -1489.76 | -566.38 | -1219.46 | | 2024-03-29 | -414.51 | -1048.92 | -403.26 | -865.88 | | 2024-03-30 | -261.47 | -659.79 | -252.29 | -539.93 | | total | -7919.64 | -18591.00 | -7464.42 | -15239.99 | Per-fill diagnostics (before fees): | | fills | mean_bps_per_fill | share_target | share_stop | share_timeout | |:-----------------------------|------------:|--------------------:|---------------:|-------------:|----------------:| | naive | 3056793.000 | -0.744 | 0.584 | 0.369 | 0.047 | | proxy | 2227122.000 | -0.962 | 0.552 | 0.400 | 0.048 | | proxy: level swept (through) | 1515132.000 | -1.118 | 0.531 | 0.423 | 0.046 | | proxy: queue cleared at P | 711990.000 | -0.628 | 0.598 | 0.350 | 0.052 | | naive only (no proxy fill) | 829671.000 | -0.159 | 0.670 | 0.288 | 0.042 |