xyz:TSMequity & other · growth mode on · 10× max
Over 106 days of 20-level order-book snapshots, xyz:TSM quoted a median spread of 2.11 bps in US regular hours with $309k resting within 25 bps of mid. A $25k market order paid about 2.85 bps in regular hours and 7.70 bps on weekends, when depth within 25 bps fell to $76k. Taker fee is 0.90 bps with growth mode on; funding averaged +4.53% 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 | 4,828 | 2.11 | 3.97 | $309k | 2.85 | 3.96 | 72% | 1% | ||||
| US extended 4–9:30, 16–20 | 7,082 | 2.10 | 4.53 | $157k | 4.74 | 8.01 | 21% | 1% | ||||
| Overnight 20–4 | 4,856 | 2.14 | 5.17 | $147k | 4.98 | 7.70 | 19% | 2% | ||||
| Weekend / holiday | 9,121 | 2.29 | 6.95 | $76k | 7.70 | 8.71 | 3% | 0% |
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
25,887 snapshots · 2026-06-16 18:29 → 2026-09-30 18:24 UTC (106.0 days) · size decimals 3 · raw: /data/xyz/TSM.json · method and caveats: methodology