Order Aggressiveness quantifies the degree to which a trading order prioritizes immediate execution over price optimization. In crypto markets, its purpose is to describe the intent behind an order, indicating whether a trader is willing to pay a premium to obtain a fill quickly or prefers to wait for a better price, risking non-execution. This parameter reflects the urgency of a transaction.
Mechanism
This attribute is typically determined by the order type and its placement relative to the prevailing bid-ask spread. Market orders exhibit maximum aggressiveness by accepting any available price. Limit orders placed within the spread or on the opposite side of the book are less aggressive, while those posted at the best bid or ask demonstrate moderate aggressiveness. The mechanism involves direct interaction with the order book’s liquidity.
Methodology
The strategic methodology for determining order aggressiveness involves a trade-off analysis between execution speed and price impact. High aggressiveness is employed when speed is paramount, such as in arbitrage or time-sensitive rebalancing. Conversely, low aggressiveness is suitable for large orders requiring minimal market disruption or when seeking specific price levels. This approach directly influences fill probability and execution cost, requiring careful calibration within smart trading algorithms.
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