Analysing Real Fills
Some interesting statistics about maker fills on Binance
Introduction
Today’s article will be a concise analysis of some fill data I’ve collected on Binance Linear Futures for a top 50 universe comprising about 35,000 real fills. These were collected recently, only over the last 4 days, by ping-ponging the book with the intention of collecting data.
This is supplied with the intention of helping traders make decisions about making into their positions better. We make many interesting findings around the best ways to quote and how to improve fills.
The quotes are updated fairly fast using low-latency code colocated in AWS Tokyo nearby the Binance server in the data centre. This however is not necessarily reflective of the fastest systems out there, and only a reasonable job of latency optimisation.
The article is rather short and simply presents some interesting results; another new article is coming out soon!