xyz:JP225index · growth mode on · 20× max
Over 106 days of 20-level order-book snapshots, xyz:JP225 quoted a median spread of 4.84 bps in US regular hours with $199k resting within 25 bps of mid. A $25k market order paid about 6.33 bps in regular hours and 26.67 bps on weekends, when depth within 25 bps fell to $19k. Taker fee is 0.90 bps with growth mode on; funding averaged -9.81% 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 | 4,829 | 4.84 | 8.15 | $199k | 6.33 | 17.04 | 57% | 16% | ||||
| US extended 4–9:30, 16–20 | 7,104 | 5.45 | 14.53 | $167k | 7.52 | 18.45 | 55% | 15% | ||||
| Overnight 20–4 | 4,875 | 5.01 | 8.80 | $200k | 6.69 | 17.90 | 57% | 15% | ||||
| Weekend / holiday | 9,150 | 12.05 | 39.53 | $19k | 26.67 | 21.12 | 16% | 3% |
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
25,958 snapshots · 2026-06-16 18:28 → 2026-09-30 18:16 UTC (106.0 days) · size decimals 5 · raw: /data/xyz/JP225.json · method and caveats: methodology