Professional market theory and practical trading insights for institutional-level performance.
Classic models (Kyle 1985, Glosten–Milgrom 1985, Obizhaeva–Wang 2013) explain price formation through order flow and liquidity.
The quant perspective extends this by showing how liquidity is self-organized:
Liquidity isn't fixed, it appears/disappears as traders react to shocks.
After a big trade, the book refills in bursts, not smoothly.
Retail orders arrive in synchronized waves at round numbers or key levels.
This is why profits don't come from guessing direction — but from anticipating where and when liquidity emerges or disappears.
Professional quants and hedge funds generate alpha through:
With inventory control
Avoiding trades against informed flow
Slicing orders when refill probability is high
Fading crowd bursts and stop cascades
Minimizing slippage vs. VWAP/TWAP
For this, generic price or tick data is not enough. You need trade-level, labeled flow: who opens, who closes, who enters, who exits.
| Exchange | Maker Fee | Taker Fee | Avg. Spread (ETH/USDT perp) |
Depth ±0.5% | Notes |
|---|---|---|---|---|---|
| Binance | 0.020% | 0.040% | ~0.01% | $20M+ | Deepest liquidity, lowest slippage |
| OKX | 0.020% | 0.050% | ~0.015% | $15M | Strong perps, active Asia hours |
| Bybit | 0.020% | 0.055% | ~0.018% | $10M | Good derivatives flow, slightly higher fees |
| KuCoin | 0.020% | 0.060% | ~0.020% | $6–8M | Broad alt coverage, thinner depth |
| Bitget | 0.020% | 0.060% | ~0.020% | $5–7M | Strong retail presence, more volatile books |
A 0.02% fee difference can erase a scalping edge.
A $10M difference in depth changes slippage and fills.
Thin venues (KuCoin, Bitget) show crowd clustering faster.
Deep venues (Binance, OKX) smooth volatility and improve execution quality.
That's why quants don't just "look at price" — they optimize across venues, fees, and liquidity.
Our data layer provides the behavioral foundation. Your execution venue choice determines the performance ceiling.
We deliver the foundation: real client trades with millisecond precision.
📥 Download Demo DataFor testing and execution, start with the deepest market:
👉 Trade on Binance FuturesCombine our flow data with Binance liquidity, and you're working with the same building blocks as institutional desks.