Spread impact: how much your size eats of the spread

The share of the spread your deposit eats, the filter on it, and the max safe size.

In short

Spread impact is the share of the entry spread the book eats when you fill your deposit. It is measured in percent of the best-price spread: an impact of 10 % means a tenth of the spread goes to the book rather than to you. The filter in the list and the select in the card's calculator both show it that way.

Impact = (BBO spread − the spread filled at your size) ÷ BBO spread × 100 %, still before fees. The difference in points is shown next to the share in the card's breakdown. It is the second of the three steps that make up the net spread; all three are worked through in The net spread. What the deposit is — in Deposit for the pairing.

Examples

• From the net-spread article's example: BBO 1.00 %, after walking the book 0.54 % → the spread lost

0.46 pp, an impact of 46 %. You saw a one-percent pairing and would get half of it at that size.

• A liquid pair: BBO 0.80 %, after the walk 0.78 % → 0.02 pp lost, an impact of 2.5 %. The book is

deep; the size does not register.

• The same 0.46 pp on a 3 % spread is an impact of 15 %, not 46 %. That is why the filter reads the

share: one threshold works the same on a thin spread and a fat one.

The "Max spread impact" filter

• Keeps pairings whose impact at your size is no more than the threshold, in percent of the spread:

a threshold of 10 keeps those where the book eats no more than a tenth of the spread.

• Alert rules have the same condition, in the same units.
• Computed at "Deposit for the pairing": change the deposit and every pairing's impact changes with it.
• A pairing whose book cannot fill the size has no impact and does not pass: you cannot enter it at

that size at all.

Max safe size

The reverse question: not "how much will my size eat" but "how much can I enter before the spread drops more than I accept". Max safe size is the largest deposit for the pairing at which the filled spread stays within the tolerance of the best-price spread. The tolerance is set where the impact is: in percentage points or as a percent of the spread itself; when both are set, the stricter one applies. Both legs carry the same quantity, so the answer is bounded by the thinner side.

It shows up in two places: the Max button in the card's calculator fills in exactly this size, and an alert rule has a "Max safe size ≥ …" condition — so it does not wake you for pairings that hold a hundred dollars.

What impact does not account for

• Fees — they are separate; the exit filters are named "before fees" for that reason.
• Price movement while you execute — the book is read at computation time, not when your order

lands.

• Hidden liquidity — iceberg orders are not visible in the book.
• Legs filled apart — the computation assumes both legs are filled at the same moment.

What changed

The "Max spread impact" filter used to be set in percentage points while the calculator's select used percent of the spread, so one word meant two different numbers. It is percent of the spread everywhere now. If you had a value in the filter, set it again: the old one was in other units. Alert rules already saved on the old condition keep working as before.