# Results: SOLUSDT (USDT-M perpetual futures, public exchange archive), 2024-03-21 .. 2024-03-30 Joins simulated: 15,788,869 (10 days, both sides). Own size 1.0 SOL. ## Fill rate overall | side | joins | naive_fill | proxy_fill | proxy_via_through | proxy_at_p_only | gap_pp | |:-------|--------------:|-------------:|-------------:|--------------------:|------------------:|---------:| | ask | 7865951.0000 | 0.2374 | 0.1629 | 0.1032 | 0.0597 | 7.4493 | | bid | 7922918.0000 | 0.2287 | 0.1568 | 0.0993 | 0.0575 | 7.1960 | | all | 15788869.0000 | 0.2330 | 0.1598 | 0.1012 | 0.0586 | 7.3222 | Median time-to-fill (proxy): 50 ms; (naive, first touch): 36 ms. Proxy p25/p75: 4/277 ms. ## By hour of day (UTC) | hour | joins | naive_fill | proxy_fill | proxy_via_through | proxy_at_p_only | gap_pp | |-------:|-------------:|-------------:|-------------:|--------------------:|------------------:|---------:| | 0 | 746728.0000 | 0.2335 | 0.1591 | 0.1016 | 0.0575 | 7.4415 | | 1 | 603757.0000 | 0.2326 | 0.1589 | 0.1007 | 0.0582 | 7.3682 | | 2 | 509483.0000 | 0.2402 | 0.1659 | 0.1043 | 0.0615 | 7.4344 | | 3 | 581160.0000 | 0.2371 | 0.1620 | 0.1029 | 0.0590 | 7.5093 | | 4 | 573474.0000 | 0.2313 | 0.1598 | 0.0997 | 0.0601 | 7.1457 | | 5 | 581131.0000 | 0.2311 | 0.1586 | 0.0984 | 0.0603 | 7.2469 | | 6 | 519488.0000 | 0.2420 | 0.1665 | 0.1009 | 0.0656 | 7.5445 | | 7 | 603124.0000 | 0.2337 | 0.1620 | 0.0981 | 0.0639 | 7.1740 | | 8 | 652234.0000 | 0.2360 | 0.1616 | 0.0994 | 0.0622 | 7.4341 | | 9 | 540111.0000 | 0.2397 | 0.1658 | 0.1004 | 0.0654 | 7.3885 | | 10 | 545558.0000 | 0.2386 | 0.1637 | 0.0993 | 0.0644 | 7.4929 | | 11 | 542781.0000 | 0.2412 | 0.1652 | 0.1017 | 0.0635 | 7.5990 | | 12 | 571440.0000 | 0.2443 | 0.1667 | 0.1009 | 0.0658 | 7.7595 | | 13 | 993332.0000 | 0.2293 | 0.1561 | 0.1038 | 0.0523 | 7.3255 | | 14 | 1414090.0000 | 0.2203 | 0.1503 | 0.1034 | 0.0469 | 6.9970 | | 15 | 1106264.0000 | 0.2173 | 0.1476 | 0.0973 | 0.0504 | 6.9694 | | 16 | 891088.0000 | 0.2273 | 0.1563 | 0.1009 | 0.0553 | 7.1040 | | 17 | 711680.0000 | 0.2305 | 0.1576 | 0.1013 | 0.0564 | 7.2887 | | 18 | 586012.0000 | 0.2330 | 0.1598 | 0.1020 | 0.0578 | 7.3178 | | 19 | 512775.0000 | 0.2375 | 0.1632 | 0.1029 | 0.0603 | 7.4231 | | 20 | 573883.0000 | 0.2345 | 0.1615 | 0.1036 | 0.0580 | 7.2954 | | 21 | 413045.0000 | 0.2467 | 0.1724 | 0.1045 | 0.0678 | 7.4256 | | 22 | 545113.0000 | 0.2391 | 0.1647 | 0.1016 | 0.0631 | 7.4445 | | 23 | 471118.0000 | 0.2452 | 0.1687 | 0.1002 | 0.0684 | 7.6533 | ## By volatility tercile (trailing 5-min realized range of mid, bps) | vol_tercile | min | max | |:--------------|------:|------:| | low | 4.1 | 37.6 | | mid | 37.6 | 59.9 | | high | 59.9 | 183.4 | | vol_tercile | joins | naive_fill | proxy_fill | proxy_via_through | proxy_at_p_only | gap_pp | |:--------------|-------------:|-------------:|-------------:|--------------------:|------------------:|---------:| | low | 5263528.0000 | 0.2463 | 0.1694 | 0.1010 | 0.0685 | 7.6849 | | mid | 5262853.0000 | 0.2322 | 0.1595 | 0.1003 | 0.0592 | 7.2758 | | high | 5262488.0000 | 0.2207 | 0.1506 | 0.1024 | 0.0481 | 7.0058 | ## By day | day | joins | naive_fill | proxy_fill | proxy_via_through | proxy_at_p_only | gap_pp | |:-----------|-------------:|-------------:|-------------:|--------------------:|------------------:|---------:| | 2024-03-21 | 2921992.0000 | 0.2139 | 0.1424 | 0.0943 | 0.0481 | 7.1469 | | 2024-03-22 | 2493815.0000 | 0.2353 | 0.1635 | 0.1146 | 0.0490 | 7.1836 | | 2024-03-23 | 1274113.0000 | 0.2346 | 0.1631 | 0.1006 | 0.0626 | 7.1479 | | 2024-03-24 | 1103952.0000 | 0.2488 | 0.1673 | 0.0967 | 0.0705 | 8.1552 | | 2024-03-25 | 1689403.0000 | 0.2287 | 0.1553 | 0.0923 | 0.0630 | 7.3389 | | 2024-03-26 | 1424318.0000 | 0.2419 | 0.1689 | 0.1039 | 0.0650 | 7.3029 | | 2024-03-27 | 1637241.0000 | 0.2286 | 0.1593 | 0.1040 | 0.0553 | 6.9282 | | 2024-03-28 | 1195455.0000 | 0.2395 | 0.1677 | 0.1038 | 0.0639 | 7.1835 | | 2024-03-29 | 1104811.0000 | 0.2364 | 0.1611 | 0.0969 | 0.0642 | 7.5324 | | 2024-03-30 | 943769.0000 | 0.2559 | 0.1749 | 0.1027 | 0.0721 | 8.1044 | ## Toy mean-reversion maker P&L per day (USD, 1.0 SOL per fill) | day | naive_fee0bps | naive_fee1bps | proxy_fee0bps | proxy_fee1bps | |:-----------|----------------:|----------------:|----------------:|----------------:| | 2024-03-21 | -8311.14 | -19980.26 | -6750.43 | -14516.77 | | 2024-03-22 | -8616.70 | -18822.74 | -7015.13 | -14107.26 | | 2024-03-23 | -4325.04 | -9562.81 | -3563.47 | -7205.61 | | 2024-03-24 | -3647.00 | -8503.92 | -2971.17 | -6236.14 | | 2024-03-25 | -5697.63 | -13009.26 | -4656.83 | -9622.63 | | 2024-03-26 | -5394.44 | -12001.32 | -4399.57 | -9012.17 | | 2024-03-27 | -5428.54 | -12391.38 | -4421.33 | -9273.90 | | 2024-03-28 | -4133.19 | -9464.00 | -3305.12 | -7037.06 | | 2024-03-29 | -3598.24 | -8495.03 | -2891.87 | -6228.99 | | 2024-03-30 | -3566.55 | -8302.97 | -2911.72 | -6148.21 | | total | -52718.48 | -120533.70 | -42886.65 | -89388.76 | Per-fill diagnostics (before fees): | | fills | mean_bps_per_fill | share_target | share_stop | share_timeout | |:-----------------------------|------------:|--------------------:|---------------:|-------------:|----------------:| | naive | 3679588.000 | -0.778 | 0.600 | 0.394 | 0.007 | | proxy | 2523495.000 | -0.923 | 0.579 | 0.414 | 0.007 | | proxy: level swept (through) | 1598378.000 | -1.090 | 0.555 | 0.438 | 0.006 | | proxy: queue cleared at P | 925117.000 | -0.636 | 0.619 | 0.372 | 0.008 | | naive only (no proxy fill) | 1156093.000 | -0.462 | 0.645 | 0.349 | 0.006 |