#execution

What a crypto trade actually costs once it eats into the order book — computed live from Binance's full depth feed (up to 5000 levels per side), no key, nothing stored. Top-of-book price is a fiction for anything but the smallest order: a real market order walks down the book, filling progressively worse levels, and the gap between the quoted price and the realised average fill is slippage. The estimate endpoint takes a pair, a side (buy or sell) and a size — in quote currency (notional, e.g. $250,000) or in base coin (quantity) — walks the live book level by level and returns the average fill price, the slippage versus the mid and versus top-of-book, the price impact (how far the last filled level sits from mid), the number of levels consumed and whether the book even holds enough liquidity to fill. The depth endpoint returns a liquidity profile: top bid/ask, mid, spread and the cumulative bid- and ask-side liquidity sitting within ±0.1%, ±0.25%, ±0.5%, ±1% and ±2% of mid, plus the book imbalance — a one-glance read on how deep and how lopsided a market is. The symbols endpoint lists tradable pairs. This is the execution-cost / market-impact analytics cut for crypto — distinct from the raw exchange order-book feed, from VWAP-on-candles, and from the price, ticker and quote APIs in the catalogue. Pairs are Binance symbols (BTCUSDT) or a coin=BTC&quote=USDT form.

api.oanor.com/slippage-api

Live VWAP (volume-weighted average price) and execution-benchmark analytics that trading desks and algos run to judge a fill, computed on demand from the OHLCV candles you pass in — no key, no cache, nothing stored. The vwap endpoint returns the session VWAP, its cumulative curve and where the last price sits relative to it (above, below or at VWAP), using the typical price (high+low+close)/3 weighted by volume. The anchored endpoint returns the VWAP measured from a chosen bar — an anchored VWAP from a swing high, a session open or a news event. The benchmark endpoint scores an execution price against both VWAP and TWAP (time-weighted average price): the slippage in basis points and whether the fill beat the benchmark, separately for a buy or a sell. Works for any market — forex, equities, crypto or commodities — because you supply the candles. This is an execution-analytics engine: it turns price and volume into the benchmark a trader's fill is measured against, distinct from indicator and pattern tools. Computed locally and deterministically, so it is instant and private. Ideal for execution-quality (TCA) reporting, algo-trading back-tests, broker fill analysis and trading dashboards. VWAP uses the typical price (H+L+C)/3. Live, nothing stored. 3 compute endpoints. For raw price feeds use an exchange or FX API.

api.oanor.com/vwap-api