xyz:XYZ100index · growth mode on · 30× max
Over 106 days of 20-level order-book snapshots, xyz:XYZ100 quoted a median spread of 0.34 bps in US regular hours with $10.5M resting within 25 bps of mid. A $25k market order paid about 0.20 bps in regular hours and 0.36 bps on weekends, when depth within 25 bps fell to $3.2M. Taker fee is 0.90 bps with growth mode on; funding averaged +4.46% annualised over the last 30 days.
by sessionNew York time · medians over 106 days
| session | snaps | spread | p90 | top | depth ±10 | depth ±25 | depth ±50 | $5k | $25k | $100k | $100k fills | $250k fills |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| US regular 9:30–16:00 | 4,820 | 0.34 | 0.68 | $10.5M | 0.20 | 0.36 | 100% | 100% | ||||
| US extended 4–9:30, 16–20 | 7,054 | 0.34 | 0.36 | $8.8M | 0.19 | 0.39 | 100% | 100% | ||||
| Overnight 20–4 | 4,854 | 0.34 | 0.36 | $9.6M | 0.18 | 0.35 | 100% | 100% | ||||
| Weekend / holiday | 9,144 | 0.34 | 0.70 | $3.2M | 0.36 | 0.70 | 100% | 100% |
bps unless stated · RTH 9:30–16:00 · extended 4:00–9:30 and 16:00–20:00 · overnight 20:00–4:00 on weekdays · weekend runs Friday 20:00 to Monday 4:00 and includes NYSE holidays · slip = mean of the buy and sell side of a market order walking the visible 20 levels · fills = share of snapshots the size fits inside those levels · "—" = not fillable in the median snapshot
slippage curve
hour of week
weekly · spread
weekly · depth ±25 bps
per round trip = 2 × median slippage + 2 × taker fee · funding uses the 30-day mean hourly rate, annualised, charged for a position held all day · slippage between tested sizes is interpolated on a log scale · ignores maker rebates, impact that persists after your fill, and fee tiers
25,872 snapshots · 2026-06-16 18:30 → 2026-09-30 18:13 UTC (106.0 days) · size decimals 4 · raw: /api/xyz/XYZ100.json · method and caveats: methodology