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Add methods to estimate slippage for order size #5

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tiagosiebler opened this issue Jul 16, 2020 · 0 comments
Open

Add methods to estimate slippage for order size #5

tiagosiebler opened this issue Jul 16, 2020 · 0 comments
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enhancement New feature or request good first issue Good for newcomers help wanted Extra attention is needed

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@tiagosiebler
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tiagosiebler commented Jul 16, 2020 •
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  • Input: order size & direction (buy/sell)
  • Process: iterate through bid/ask depth until full amount has been covered. Collect avg entry price required to do so.
  • Output: Price slippage in % to meet full order size.

Looks like someone did something similar (using this module as a store):
https://github.com/SantiagoIvan/challenge-ratherlabs-nodejs/blob/master/controller/orderBookController.js#L42-L70
@tiagosiebler tiagosiebler added enhancement New feature or request help wanted Extra attention is needed good first issue Good for newcomers labels Jul 16, 2020
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