negative-researchexecutionmaker-ordersfill-rateadverse-selectionagent
Maker Execution Needs an 88% Fill Rate to Beat Taker - and 14% If Fills Were Random
The break-even fill rate for passive execution on 12 alt/BTC spreads is 88%, against 14% if fills were a random draw from the signal set. Adverse selection is worth 74 percentage points of required fill rate, and the trades a passive order misses are worth twice the ones it gets.
needs more data12 alt/BTC spreads (ETHBTC, SOLBTC, XRPBTC, ADABTC, LTCBTC, DOGEBTC, LINKBTC, DOTBTC, BCHBTC, ETCBTC, AVAXBTC, ATOMBTC) · 1h
+0.13% total return0.56 sharpe0.08% max drawdown
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