Executing and calculating a trade: order book, slippage, fees and funding
The spread in the table is the best prices, not your fill price. We look at how the order book turns a 1.5% spread into a smaller number, how to open two legs without being left with one, and calculate the whole trade from entry to exit.
Finding a spread is half the job. The other half is entering and exiting so that something of it remains. In the screener table the spread is calculated from the best prices, while execution depends on how much volume sits at those prices.
Order book and slippage
The order book is the list of buy and sell orders. A market order takes volume from the best prices, and when that runs out it moves to the next levels. Example: a sub-cent coin, and you want to buy $3,000 worth.
| Price (ask) | Volume at level | Taken by your order |
|---|---|---|
| 0.00584 | $800 | $800 |
| 0.00586 | $1,200 | $1,200 |
| 0.00590 | $3,000 | $1,000 |
Hence the rule: look at the order book on both exchanges before entering and size the position to the volume sitting near the best price. If the volume at the best levels is tens of dollars, a 5% spread cannot be captured.
Order types
| Order | How it works | When to use it |
|---|---|---|
| Market | Fills immediately at the best available prices; taker fee | A liquid leg, small size, the hedge must be closed immediately |
| Limit | Fills at your price or better, may not fill; if it rests in the book — maker fee | The less liquid leg, when there is time |
| Post-only | Rejected if it would fill immediately as a taker | Saving on fees when there is no rush |
| IOC / FOK | Fill immediately and cancel the rest (IOC) or fill entirely or not at all (FOK) | Limit slippage without leaving resting orders |
| Reduce-only | Can only reduce a position, never open a new one in the opposite direction | Exiting legs, especially in parts |
Single-leg risk
While only one leg is open, you are not in arbitrage but in an ordinary bet on price going up or down. The longer that pause, the bigger the risk. An order of operations that reduces it:
- 1
The less liquid side first
Place a limit order where there is less volume: that is the leg that is harder to fill at a good price. - 2
The second leg right away
As soon as the first fills (fully or partially), open the second on the liquid exchange with a market order for the same number of coins. - 3
In parts
If the book is thin, split the position into several parts and repeat the “limit — market” pair. - 4
Reconcile
After entry the number of coins on both legs must match. A leftover on one leg is an open bet on price.
The full trade calculation
The calculator on the screener’s landing page computes the ideal case: the spread fully converges to zero and there is no slippage. It is useful for understanding the mechanics, but a real trade is almost always worse.
| Item | As in the calculator | Realistic |
|---|---|---|
| Entry spread | +1.50% | +1.50% |
| Exit spread | 0.00% | +0.30% |
| Fees, 4 trades | −0.20% | −0.20% |
| Slippage | 0.00% | −0.30% |
| Funding over 1 day | +0.06% | +0.06% |
| Total | +1.36% | +0.76% |
Exit
- At the same time. Close both legs within the same minute and with the same number of coins.
- Reduce-only. Reduce-only orders prevent accidentally opening a position in the opposite direction if one leg is already closed.
- In parts. On a thin book, exit is as expensive as entry. Close in parts and keep the legs equal.
- Do not hold one leg. If one leg closed and the other did not, close it immediately, even at a worse price.
Frequently asked questions
What is slippage?
The difference between the expected price and the actual average fill price. It happens when there is not enough volume at the best prices and the order walks several book levels.
Should I open the legs with market or limit orders?
The less liquid leg with a limit order, so as not to lose the spread to slippage. The liquid leg with a market order right after the first fills, so you do not hold one leg without a hedge.
Why use a reduce-only order?
It can only reduce a position. If one leg is already closed, such an order will not accidentally open a new position in the opposite direction.
Why does the calculator show more than I got?
The calculator computes the ideal case: full convergence of the spread to zero and zero slippage. In a real trade the spread converges partially, and execution on a thin book is worse than the best prices.
Sources
- 1.What Are Maker Post Only, Time in Force and Iceberg Orders?Binance7/1/2026official
- 2.
- 3.Binance Futures Fee Structure & Fee CalculationsBinance5/1/2026
- 4.P2P.Army: futures screener — spot and futuresP2P.Army10/31/2026
About the author
Crypto expert, arbitrage trader and investor
Crypto expert and hands-on crypto arbitrage trader, investor and software developer with over 20 years of experience. On the P2P.Army blog he covers exchange news, P2P and cross-exchange arbitrage.
- Crypto arbitrage
- P2P arbitrage
- Cross-exchange arbitrage
- Crypto exchanges
- Investing
- Software development
