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桀-@LTChives
桀-@LTChives
Influential Creator
盘口强弱榜 5分钟中位滑点，按盘口估算 $EWZ 大额卖出成本下降，买入成本上升。10万规模模拟买/卖滑点由1.71%/2.08%变为1.93%/1.79%。不对称变化，只谈执行不谈方向。 $ORDER 大额卖出成本上升，小额卖出几乎没变。10万规模模拟卖出滑点由0.70%升至0.88%。1万卖出仍约0.18%。深度在变差，同样单量更贵了。 $DOOD 放大订单后，进出两侧的滑点都明显增加。模拟1万规模买/卖滑点0.13%/0.15%，10万为0.71%/0.90%。深度在规模上不连续，十万档才是真正的执行约束。
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19:22 · 10/26/26·9.54K views·Posted on OKX Orbit

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