Evaluating MSTR Futures Spreads, Depth, and Slippage
Summary
The document explains why a displayed bid-ask spread alone is an incomplete measure of execution quality in MSTR futures. It recommends checking top-of-book size, nearby depth, slippage, and book stability, while accounting for funding costs and expected order size. It also links MSTR’s changing liquidity and volatility to Bitcoin moves, U.S. equity market activity, company announcements, macro news, and low-liquidity periods.
For execution, the guide contrasts market orders, which prioritize speed, with limit orders, which control price but may not fill. It suggests estimating a large order’s average fill by summing available quantities across price levels and comparing the result with the mid-price; staged orders may reduce price impact. The document cites several reported Bitget depth figures, but gives no measurement definitions, comparative venue data, or spread time series. It also cautions that spreads and liquidity change in real time, so its platform assessment is not a guarantee of current execution quality.
Key ideas
- A narrow displayed spread can conceal insufficient depth and substantial slippage for larger orders.
- MSTR futures liquidity can change with Bitcoin volatility, equity market sessions, and company news.
- Estimating execution cost requires comparing order size with liquidity across nearby price levels.
- Limit orders offer price control but may not execute, while market orders can incur more slippage.
- Spreads and depth are time-varying, and the cited venue data does not establish a permanent advantage.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.