~ / data / xyz / SP500

xyz:SP500index · growth mode on · 50× max

7695.55last mid · 2026-09-30 18:24 UTC

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Over 106 days of 20-level order-book snapshots, xyz:SP500 quoted a median spread of 0.13 bps in US regular hours with $3.5M resting within 25 bps of mid. A $25k market order paid about 0.13 bps in regular hours and 0.45 bps on weekends, when depth within 25 bps fell to $1.1M. Taker fee is 0.90 bps with growth mode on; funding averaged +3.07% annualised over the last 30 days.

spread · rth

0.13 bps

median · p90 0.27 bps

depth ±25bps · rth

$3.5M

median, both sides

$25k slip · rth

0.13 bps

fills 100%

$25k slip · wknd

0.45 bps

fills 100%

taker fee

0.90 bps

fee scale 1.0 · growth mode on

funding apr · 30d

+3.07%

longs pay when positive · 7d +3.39%

vol 24h · 30d avg

$180.4M

notional

open interest

$352.5M

both sides · 2026-10-01

by sessionNew York time · medians over 106 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	4,832	0.13	0.27	$159k	$3.5M	$3.5M	$3.5M	0.07	0.13	0.27	100%	100%
US extended 4–9:30, 16–20	7,075	0.13	0.27	$99k	$2.8M	$2.8M	$2.8M	0.07	0.14	0.32	100%	99%
Overnight 20–4	4,843	0.13	0.14	$104k	$3.1M	$3.1M	$3.1M	0.07	0.13	0.29	100%	100%
Weekend / holiday	9,143	0.14	1.05	$27k	$1.1M	$1.1M	$1.1M	0.27	0.45	0.83	98%	78%

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

median bps over mid vs order size · a line ends where the size stops filling in the median snapshot

hour of week

New York time · median per cell over 106 days · brighter = better · the breathing cell is now

weekly · spread

median bps, all sessions

weekly · depth ±25 bps

median USD both sides, all sessions

cost calculator

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

history1 market change to xyz:SP500 observed in the changelog · newest first

2026-08-03 23:52OI cap$1.00B ↑ $1.25BoiCap observed changing from $1B to $1.25B

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

25,893 snapshots · 2026-06-16 18:29 → 2026-09-30 18:24 UTC (106.0 days) · size decimals 3 · raw: /api/xyz/SP500.json · method and caveats: methodology