The all-in cost of a trade
The fee is the number most traders look at. It is one of four costs, and often not the largest.
The question
What does a trade actually cost?
A trade costs the gap between a fair price and what you actually pay, from opening the position to closing it. That gap has four parts.
- The fill price against the mid price.
- The trading fee.
- Funding while the position is open.
- The cost of closing: a second fill and a second fee.
Part one
The fill price
The mid price is halfway between the best bid and the best ask. A market buy pays above it and a market sell receives below it: at least half the spread, and more when the order is larger than the best price level.
On an order book, a larger order walks through more price levels, so its average fill moves further from mid. Cost against mid is usually given in basis points. One basis point is 0.01%.
On an RFQ market, the fill price is a maker's quote for your size.
N1 Prime, a proposal for market makers, is aimed at this part of the cost.
Part two
The fee
The trading fee is the fill's notional value times the fee rate. The resting order pays the maker rate. The order that takes liquidity pays the taker rate, so a market order pays the taker rate. N1's rates by tier are in the fees docs.
Part three
Funding
A perp position pays or receives funding every hour while it is open. The rate changes with the market, so for a planned holding period it is an estimate. See funding rates explained.
Part four
Closing
Closing is another trade. It pays the fill cost and the fee again, at whatever depth the market has when you exit.
Worked example
A $10,000 long held for two days
Illustrative numbers. The fee is N1's highest CLOB taker rate; the fills and funding are not N1 prices.
| Cost | Calculation | Amount |
|---|---|---|
| Opening fill | 3 bps against mid | $3.00 |
| Opening fee | 0.035% taker fee | $3.50 |
| Funding | 48 hours at 0.001% an hour | $4.80 |
| Closing fill | 3 bps against mid | $3.00 |
| Closing fee | 0.035% taker fee | $3.50 |
| All-in | 17.8 bps of $10,000 | $17.80 |
The two fees are $7.00 of the $17.80. The fills and funding make up the rest.
Comparing
How to compare two prices fairly
A cost only compares with another when everything else is equal.
- The same order: same market, same side, same size. Cost against mid grows with size, so a $10k figure says little about $1M.
- The same moment. Order books and funding move, so compare prices taken at the same time.
- The same fee rate: the maker or taker rate your account actually pays.
- The same holding period, with funding for that period and the cost of closing at the same size.
A lower fee does not guarantee a lower total. A venue with no fee can still give a worse fill, and a good fill can be outweighed by funding on a long hold.
In practice
Where to find each number on N1
Each N1 market page shows the projected funding rate and next funding time. Order-book markets with enough depth also show the cost to buy and sell $10k and $100k against mid from the live book, before fees; for more, or on the others, request a quote in the app. The fee schedule lists maker and taker rates by tier. RFQ markets quote a price for your size in the app.
FAQ
Common questions
- What is the all-in cost of a trade?
- It is the full cost from opening a position to closing it: the fill price against mid, the trading fee, funding while the position is open, and the fill and fee to close.
- Why is the fee not enough to compare trading costs?
- The fee is one part of the cost. The fill price can differ by more than the fee, especially at larger sizes, and funding adds up on positions held for days.
- What is cost against mid?
- It is how far the average fill price of an order lands from the mid price, halfway between the best bid and ask. It is usually given in basis points, where one basis point is 0.01%.
- Does funding count as a trading cost?
- For a position held across funding hours, yes. It can also be income when your side is the one being paid.
Sources
From the N1 docs
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