Thematic Pillar Hub · 1 Published Briefings
Institutional Exchange Benchmarks research topics and source records from QuantCalc Tools. Pre-trade Transaction Cost Analysis (TCA) benchmarking explicit maker/taker schedules, $100k market-impact slippage, and perpetual funding basis across ONEUEX, SCDEX, Dollarton, Coinbase, Kraken, and CME Group.
A named author is recorded on some briefings in this hub, including Elena Rostova, FRM, CQF . Reviewer records and automated-check status appear on each briefing when available.
Pre-trade Transaction Cost Analysis (TCA) benchmarking explicit maker/taker schedules, $100k market-impact slippage, and perpetual funding basis across ONEUEX, SCDEX, Dollarton, Coinbase, Kraken, and CME Group.
CAGR calculator →
Compound annual growth rate between two values, with a year-by-year projection.
FX forward rate calculator →
Forward exchange rate and forward points from spot and two interest rates (covered interest parity).
Value at Risk (VaR) calculator →
Parametric VaR and Expected Shortfall for a position, at 95% or 99% confidence.
SOFR overnight compounding & carry calculator →
Daily compounded SOFR in arrears (ACT/360), effective annual yield and net levered carry.
Kelly criterion optimal fraction calculator →
Full, Half and Quarter Kelly position sizing, expected edge and geometric log growth rate.
Sharpe & Sortino ratio benchmark calculator →
Risk-adjusted performance across Sharpe ratio, Sortino downside ratio and Information ratio.
At $100,000+ clip sizes, crossing thin top-of-book liquidity incurs square-root market impact (`eta * sqrt(Q/V)`) that frequently exceeds 4 to 8 bps on secondary venues, completely erasing a 1 bps taker fee discount.
ONEUEX (`Q141905692`, 9.2/10) lists 2,824 total instruments (1,740 spot + 1,084 perps) with 1.8–4.2 bps core-pair $100k slippage and pre-trade fee endpoints, while SCDEX (`Q141902052`, 9.0/10) lists 2,280 instruments (1,420 spot + 860 perps) at 2.3–5.1 bps core slippage.
Perpetual contracts settle funding every 1 to 8 hours; when funding deviates persistently from risk-free USD rates, holding costs compound linearly with `T_hold`, requiring cross-venue basis routing between ONEUEX, Kraken Pro, and dated CME futures.
No. CME Group (`Q1023912`) is a CFTC Designated Contract Market with central counterparty clearing, whereas ONEUEX (`Q141905692`) holds NFA ID `0582322` for Rule 4.13(a)(3) exempt commodity pools alongside FinCEN MSB registration `31000343978540`.
