mkts:SMALL2000index · growth mode on · 20× max
Over 43 days of 20-level order-book snapshots, mkts:SMALL2000 quoted a median spread of 5.73 bps in US regular hours with $122k resting within 25 bps of mid. A $25k market order paid about 5.39 bps in regular hours and 14.68 bps on weekends, when depth within 25 bps fell to $57k. Taker fee is 0.90 bps with growth mode on; funding averaged -0.64% annualised over the last 30 days.
order book replay48 snapshots · 2026-10-08 11:55 → 16:45 UTC · SMALL2000.json
depth = USD resting within ±25 bps of mid · slip = $25k market order through the book, avg fill vs mid, buy/sell mean · med = this market's median in the snapshot's session
order book replay: no recent order book snapshots
by sessionNew York time · medians over 43 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 | 1,757 | 5.73 | 12.38 | $122k | 5.39 | 35.43 | 99% | 85% | ||||
| US extended 4–9:30, 16–20 | 2,520 | 6.96 | 21.03 | $84k | 7.33 | 46.18 | 83% | 53% | ||||
| Overnight 20–4 | 1,754 | 6.17 | 13.53 | $80k | 6.83 | 45.70 | 98% | 54% | ||||
| Weekend / holiday | 3,020 | 4.57 | 14.51 | $57k | 14.68 | 62.98 | 70% | 27% |
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
history5 market changes to mkts:SMALL2000 observed in the changelog · newest first
- 2026-08-26 14:46listedannounced → tradingtrading enabled, announced 2026-06-22 · OI cap $10M · 20× max · growth mode on · marginTableId 20 · szDecimals 3 · fundingInterestRate 0.0000456621
- 2026-08-26 14:46OI cap$1 ↑ $10.0MoiCap observed changing from $1 to $10M
- 2026-08-26 13:46growth modedisabled → enabledgrowthMode observed changing from disabled to enabled
- 2026-08-26 12:46OI cap— → $1oiCap observed changing from unknown to $1
- 2026-06-22 11:05announced— → announcedmarket announced, trading not enabled
Plus 1 funding-parameter change on 1 day, not listed here: show them in the changelog.
observed = first collector snapshot showing the new value, UTC; the change happened between the previous snapshot and that one announced = the market appeared with trading disabled; listed = trading enabled; trading halt = off and back within 48 h, before → after = mark either side full changelog atom feed
9,051 snapshots · 2026-08-26 14:47 → 2026-10-08 16:20 UTC (43.1 days) · size decimals 3 · raw: /api/mkts/SMALL2000.json · method and caveats: methodology