The net spread: what you actually get at your size

The spread at the best prices, less the walk through the book, less both venues' fees — worked through on numbers.

In short

The net spread is what you actually get at your size. It is three steps:

1. The spread at the best prices (BBO) — the best bid on one venue against the best ask on the

other. That is the spread for a trade of nothing: the first orders, where pennies may sit.

1. The walk through the book. Your size is not filled at the best price: part of it is, the

rest at worse levels. The spread drops.

1. Both venues' fees. The long leg's taker rate plus the short leg's, taken off the result.

Step one is the “Spread (BBO)” column. Step three is the “Net spread” column. The distance between them is what entering for real costs you.

A worked example

The long is bought on venue A. Its asks: 100 coins at 1.000, 300 at 1.002, 1000 at 1.005. To buy 500 coins:

• 100 × 1.000 + 300 × 1.002 + 100 × 1.005 = 501.1
• average buy price 501.1 / 500 = 1.0022 — 0.22 % worse than the best price of 1.000.

The short is sold on venue B. Its bids: 200 coins at 1.010, 500 at 1.006. To sell 500 coins:

• 200 × 1.010 + 300 × 1.006 = 503.8
• average sell price 503.8 / 500 = 1.0076 — worse than the best bid of 1.010.

Step by step:

| step | how it is worked out | left | |---|---|---:| | the spread at the best prices | (1.010 − 1.000) / 1.000 | 1.00 % | | after walking the book | (1.0076 − 1.0022) / 1.000 | 0.54 % | | less both legs' fees | 0.54 − (0.055 + 0.1) | 0.385 % |

A little over a third of the spread survives. Half went to your own size, a little more to the venues. Nothing is broken: the book is simply thin for that size, and trading is not free.

What depends on what

• The size comes from the Deposit for the pairing filter — all your money across both legs,

funding one quantity of the coin on each side; see Deposit for the pairing.

• Depend on the deposit: the net spread, the spread impact and the max safe size.
• Do not: the spread at the best prices, funding and prices.
• The fee is per venue AND per market: futures and spot cost differently on the same exchange. A

margin leg borrows the coin and sells it on the spot book, so it pays the spot rate. You can enter your own rates in settings — the card, Farm and the journal then use them.

In and out

• Net entry — opening the pairing: buy the long and sell the short at your size, less both

legs' fees.

• Net exit — closing it: sell the long and buy the short back, both fees again.
• The exit is shown sign-inverted — it is what closing costs right now, so lower is better.

Hence the rule that confuses at first: the net entry always sits below the BBO entry, and the net exit above the BBO exit. It is the same thing: depth and fees make both sides worse, and on the way in “worse” means smaller, on the way out dearer.

When the cell is empty

An empty cell is an answer, not a data fault:

• the book cannot fill your size on at least one leg — you cannot enter here at that size;
• the venue published no fee — we do not know what the trade costs, and we do not invent a

zero. A fee we do not know is not free trading.

Either way the pairing stays in the list: it is visible, just without the figure.

How to use it

• Entering with size rather than a probe order? Sort and filter by the net entry, not by BBO.
• Read the two columns side by side: a wide gap between “Spread (BBO)” and “Net spread” means a

thin book or an expensive venue.

• Check your own fees in settings. The default is the venue's published base tier, and yours may

differ — in either direction.

What changed

This article used to be “What the VWAP spread is”, and the product had a “VWAP” column. It showed the spread before fees — a number you cannot trade on: that is what the venue would give if it charged nothing. There is one figure now, the net spread, fees included.

If you had saved filters or alert rules with a floor on the old spread, they were moved onto the new one automatically and your number was kept. But it now measures something different: the net spread is always smaller, so a rule with the same number fires less often. If an alert went quiet, lower its threshold.