mkts:US500index · growth mode on · 25× max
Over 99 days of 20-level order-book snapshots, mkts:US500 quoted a median spread of 0.52 bps in US regular hours with $365k resting within 25 bps of mid. A $25k market order paid about 1.67 bps in regular hours and 3.36 bps on weekends, when depth within 25 bps fell to $103k. Taker fee is 0.90 bps with growth mode on; funding averaged +4.80% annualised over the last 30 days.
order book replay48 snapshots · 2026-10-08 12:00 → 16:45 UTC · US500.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 99 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 | 4,512 | 0.52 | 2.18 | $365k | 1.67 | 1.63 | 50% | 45% | ||||
| US extended 4–9:30, 16–20 | 6,518 | 0.39 | 1.95 | $161k | 1.55 | 2.51 | 41% | 36% | ||||
| Overnight 20–4 | 4,540 | 0.26 | 1.74 | $237k | 1.79 | 2.81 | 48% | 44% | ||||
| Weekend / holiday | 8,200 | 0.26 | 2.02 | $103k | 3.36 | 8.11 | 15% | 15% |
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
history9 market changes to mkts:US500 observed in the changelog · newest first
- 2026-07-01 15:05relisteddelisted → liveisDelisted observed changing from True to False
- 2026-07-01 15:05OI cap$1 ↑ $25.0MoiCap observed changing from $1 to $25M
- 2026-06-29 01:05delistedlive → delistedisDelisted observed changing from False to True
- 2026-06-28 00:05trading halt— → —trading halted ~24.0 h
- 2026-06-26 09:05listedannounced → tradingtrading enabled, announced 2026-06-22 · OI cap $1 · 25× max · growth mode on · marginTableId 25 · szDecimals 3 · fundingInterestRate 0.0000456621
- 2026-06-25 11:05OI cap$25.0M ↓ $1oiCap observed changing from $25M to $1
- 2026-06-25 02:05growth modedisabled → enabledgrowthMode observed changing from disabled to enabled
- 2026-06-25 02:05OI cap— → $25.0MoiCap observed changing from unknown to $25M
- 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
23,770 snapshots · 2026-07-01 15:06 → 2026-10-08 16:15 UTC (99.0 days) · size decimals 3 · raw: /api/mkts/US500.json · method and caveats: methodology