Price Spread

When executing a market order, Drake applies a price spread on top of the low-latency price from Chainlink’s data stream.

For BTC and ETH instruments, the spread is fixed at 0.04%.

For other instruments, the price spread is calculated as the sum of the fixed spread (0.04%) and the dynamic spread. The dynamic spread depends on factors such as the current open interest imbalance, the order size, and the market depth of the token.

• dynamic spread

  dynamic spread = | open interest imbalance + order size | / min(1% depth bid, 1% depth ask)

Price Spread = Fixed Spread + Dynamic Spread

BTC/ETH

Fixed Spread: 0.04%

Dynamic Spread: 0

Other Crypto:

Fixed Spread: 0.04%

Dynamic Spread:

OI_imbalance ≤ 20% (exposure rate) * total_OI_limit

OI_imbalance = abs(long_OI) - abs(short_OI)

Long Trade: Position = Trade Size * instrument_price

Short Trade: Position = Trade Size * -1 * instrument_price

Dynamic Spread = abs((OI_imbalance + Position))/ min(1%_depth_bid, 1%_depth_ask)