Pre trade analysis#

GET https://api.pro.anboto.xyz/api/v2/data/preTradeAnalysis

Market impact of an order before it is placed, computed from Anboto's live market snapshot (the same analysis as the trading UI): participation in the 5m volume and in the order book, impact tier LOW / MEDIUM / HIGH for TWAP / VWAP / IS at the given duration, the shortest low / medium impact durations, sweep price, slippage and share of the 24h volume. For POV, give povRatio: the impact tier at that participation, the estimated time to fill and the low / medium / high participation presets (pov). cost_estimate gives the expected slippage, price move and market risk from a market-impact model (uncalibrated estimate). supported: false with missing explains when the venue or symbol cannot be analysed (e.g. exchange_not_supported, timeout); market and execution are then null when no snapshot could be read or it is stale. The first call for a symbol can take a few seconds while the snapshot is built; later calls are immediate. ApiKeyAuth required.

Query params#

exchange string

Exchange, e.g. binance, bybit, okx

assetClass string

Asset class: spot or future

symbol string

Anboto symbol, e.g. BTC/USDT:USDT

quantity string

Order quantity in base units (coins)

strategy string

Strategy: twap, vwap, is, pov, iceberg, limit, market…

side string

buy or sell; needed for the sweep price and slippage

durationSeconds string

Execution duration in seconds (TWAP / VWAP / IS)

povRatio string

POV participation in percent of market volume, 0.01 to 33; required for pov

Headers#

Header
`X-API-KEY`	string	required
`X-TIMESTAMP`	int64 ms	required
`X-SIGN`	string	required
`X-RECV-WINDOW`	int, default 5000

Responses#


200	The analysis.
400	Invalid parameter
401	Unauthorized: missing or unknown API key
429	Rate limit exceeded, retry later
503	Pre-trade analysis is not available on this deployment

Response fields — PreTradeAnalysis #

supported boolean required

False when the venue or symbol cannot be analysed; see missing

missing array[string] required

Inputs that could not be sourced (e.g. deep_book, ohlcv_1m) or why the analysis is unavailable (disabled, exchange_not_supported, timeout, rejected, error, stale)

snapshot_timestamp integer

Epoch ms of the market snapshot used; null when no snapshot could be read (disabled, exchange_not_supported, timeout, rejected, error)

market object

impact PreTradeImpact

Participation and impact tier at the requested duration

impact.tier enum

Null when no duration was given — LOW, MEDIUM, HIGH

impact.duration_seconds integer

impact.volume_participation_pct number

Percent of the median 5-minute volume

impact.order_book_participation_pct number

Percent of the book depth within 20 bps, per minute

impact.book_safe boolean

The book depth can absorb the flow

impact.model PreTradeImpactModel required

Participation at a reference duration; pct(D) = pct × reference_duration_seconds / D. Volume participation above medium_pct is MEDIUM and above high_pct is HIGH, with the low order book thresholds while the order book participation is below low_order_book_participation_pct

execution object

advice PreTradeAdvice

Advised durations, on Anboto's duration ladder

advice.safe_duration_seconds integer

Shortest duration rated LOW

advice.moderate_duration_seconds integer

Shortest duration rated MEDIUM or better

pov PreTradePov

POV model. At a participation p the order trades k = p / (1 - 2p) of everyone else's volume, because the engine counts its own fills. The impact tier depends on p alone: pace_vs_market_pct above medium_pct is MEDIUM, above high_pct is HIGH, whatever the book depth. The quantity only sets the time to fill.

pov.pov_ratio_pct number required

Requested participation, percent of market volume

pov.pace_vs_market_pct number required

Order flow as a share of the rest of the market (k)

pov.share_of_total_pct number required

Order flow as a share of all market volume, own fills included

pov.estimated_fill_seconds integer

Time to fill the quantity if market volume stays at its recent median 5-minute volume. An estimate only: POV speeds up when volume rises and slows down when it falls; passive and hybrid styles, or a limit price, can be slower

pov.estimated_fill_seconds_24h integer

Same at the 24h average volume

pov.thresholds PreTradeThresholds required

pov.safe_pov_pct number

Largest ladder participation rated LOW

pov.moderate_pov_pct number

Largest ladder participation rated MEDIUM or better

pov.high_pov_pct number

Smallest ladder participation rated HIGH

cost_estimate PreTradeCostEstimate

Expected execution cost from a market-impact model (Almgren, Thum, Hauptmann and Li, 2005) with its published coefficients, in basis points of the arrival price. Assumes normal liquidity: market makers refill the book and nobody trades heavily against the order. calibrated is false until the coefficients are fitted on Anboto fills.

cost_estimate.slippage_bps number required

Expected average execution price against arrival

cost_estimate.price_move_bps number required

Expected price move by the end of the execution

cost_estimate.permanent_bps number required

Part of the move expected to remain after the order

cost_estimate.market_risk_bps number required

One standard deviation of the market's own move over the execution time

cost_estimate.horizon_seconds integer required

Execution time assumed: the duration, or the POV time to fill

cost_estimate.pace_pct number required

Order flow as a share of the rest of the market

cost_estimate.model string required

cost_estimate.calibrated boolean required

ShellPythonRustGoJavaTypeScriptKotlinC++JavaScript

curl -X GET "$BASE/api/v2/data/preTradeAnalysis?exchange=string" \
  -H "X-API-KEY: $API_KEY" -H "X-TIMESTAMP: $ts" \
  -H "X-SIGN: $sign"

params = {"exchange": ..., "assetClass": ..., "symbol": ..., "quantity": ..., "strategy": ..., "side": ..., "durationSeconds": ..., "povRatio": ...}
r = requests.get(f"{BASE}/api/v2/data/preTradeAnalysis",
    params=params
    headers=signed_headers_query(params))
print(r.json())

let resp = client
    .get(format!("{BASE}/api/v2/data/preTradeAnalysis?exchange=string"))
    .headers(signed_headers_query(&params))
    .send()?;
println!("{}", resp.text()?);

req, _ := http.NewRequest("GET", BASE+"/api/v2/data/preTradeAnalysis?exchange=string", nil)
for k, v := range signedHeadersQuery(req.URL.Query()) {
    req.Header.Set(k, v)
}
resp, err := http.DefaultClient.Do(req)
if err != nil {
    log.Fatal(err)
}
defer resp.Body.Close()
io.Copy(os.Stdout, resp.Body)

HttpResponse<String> resp = client.send(
    signedGet("/api/v2/data/preTradeAnalysis?exchange=string"),
    HttpResponse.BodyHandlers.ofString());

const res = await fetch(`${BASE}/api/v2/data/preTradeAnalysis?exchange=string`, {
  method: "GET",
  headers: signedHeadersQuery(params),
});
const data: PreTradeAnalysis = await res.json();

val request = signedGet("/api/v2/data/preTradeAnalysis?exchange=string")
val response = client.send(request, HttpResponse.BodyHandlers.ofString())
println(response.body())

cpr::Response r = cpr::Get(
    cpr::Url{BASE + "/api/v2/data/preTradeAnalysis?exchange=string"},
    signedHeadersQuery(params));
std::cout << r.text << std::endl;

const res = await fetch(`${BASE}/api/v2/data/preTradeAnalysis?exchange=string`, {
  method: "GET",
  headers: signedHeadersQuery(params),
});
console.log(await res.json());

Response 200

{
  "supported": true,
  "missing": [
    "string"
  ],
  "snapshot_timestamp": 0,
  "market": "string",
  "impact": {
    "tier": "LOW",
    "duration_seconds": 0,
    "volume_participation_pct": 0.0,
    "order_book_participation_pct": 0.0,
    "book_safe": true,
    "model": {
      "reference_duration_seconds": 0,
      "volume_participation_pct": 0.0,
      "order_book_participation_pct": 0.0,
      "low_order_book_participation_pct": 0.0,
      "thresholds_low_order_book": {
        "medium_pct": 0.0,
        "high_pct": 0.0
      },
      "thresholds_high_order_book": {
        "medium_pct": 0.0,
        "high_pct": 0.0
      }
    }
  },
  "execution": "string",
  "advice": {
    "safe_duration_seconds": 0,
    "moderate_duration_seconds": 0
  },
  "pov": {
    "pov_ratio_pct": 0.0,
    "pace_vs_market_pct": 0.0,
    "share_of_total_pct": 0.0,
    "estimated_fill_seconds": 0,
    "estimated_fill_seconds_24h": 0,
    "thresholds": {
      "medium_pct": 0.0,
      "high_pct": 0.0
    },
    "safe_pov_pct": 0.0,
    "moderate_pov_pct": 0.0,
    "high_pov_pct": 0.0
  },
  "cost_estimate": {
    "slippage_bps": 0.0,
    "price_move_bps": 0.0,
    "permanent_bps": 0.0,
    "market_risk_bps": 0.0,
    "horizon_seconds": 0,
    "pace_pct": 0.0,
    "model": "string",
    "calibrated": true
  }
}

Pre trade analysis#

Query params#

Headers#

Responses#

Response fields — PreTradeAnalysis#

Response fields — PreTradeAnalysis #