quote_cost
Walk the order book to get real average fill price, slippage, notional, and fee schedule before sizing any trade.
Instructions
What a given size would ACTUALLY cost, by walking the order book rather than reading the top level. Returns average fill price, slippage vs best, notional, and the levels consumed — plus the venue's fee schedule where it publishes one. Call this before sizing any trade, and on both legs before acting on a cross-venue gap.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| side | Yes | ||
| size | Yes | ||
| venue | Yes | ||
| market_id | Yes |