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Combined Order Book: Methodology

Our Live Combined Order Book is the first of its kind, showing you live BTC/USD and ETH/USD prices across multiple spot and futures exchanges all on one page. In order to do this we have to make some trade-offs between simplicity and rigour.

We want you to be able to fully trust the data CoinLobster is showing you. To achieve this, we try to be as open as possible about any trade-offs, approximations, or assumptions we make. If you think we should be doing things differently, please reach out by email or on Twitter - we would love to hear from you!

Spot vs Futures

The biggest simplification in our combined order book is that it allows you to see spot and futures liquidity all in one order book, as if they are the same thing. This is obviously not the case - buying 1 BTC for x USD is not the same as going long 1 BTC/USD future at price x.

While there are times when this simplification is useful, there are also times when it is not. For example, if you're trying to get a general idea of market sentiment or looking to build up exposure wherever liquidity is plentiful, combining spot and futures in one page can help you do that. If, however, you are looking for arbitrage opportunities across exchanges, naively combining spot and futures in the way that we have done will not be sufficient and could be misleading.

Futures contracts have many complexities that spot instruments don't have: funding rates, margin requirements, mark prices, liquidations. Currently we account for none of these. We are open to changing this in future, but we think our users would prefer to see the data as-is and make their own adjustments rather than ever having to reverse-engineer our calculations.

Futures - vanilla vs inverse, mark prices, funding rates

Even within the perpetual futures realm, no two contracts are the same. The biggest difference is in the currency used for margin and pnl. Vanilla futures have linear payoff structures and have notional values denominated in the base currency (i.e. BTC/USD vanilla perpetual will be denominated in quantity units of BTC at USD prices). Inverse futures have more complex payoff structures and have notional values denominated in the quote currency (i.e. BTC/USD inverse perpetual will be denominated in quantity units of USD at USD prices).

We account for this naively by treating prices the same way regardless of the type of futures contract, and by converting volumes by using the quoted price. For example, 10 BTC available on a vanilla futures contract at a price of $20,000 will be treated the same as $200,000 available at a price of $20,000 on an inverse futures contract. We are not suggesting that these are actually worth the same, just that it seems like the simplest approximation that will give an easy indication of relative liquidity across exchanges.


One further approximation is that our order book treats USD stablecoins as if they were the same as USD. For example, it shows Binance BTC/USDT perpetual futures prices alongside other BTC/USD contracts without doing any price conversion. While it would be possible for us to derive a 'fair' USD/USDT rate to convert everything to USD-equivalent prices, this would add another layer of subjectivity and since the prices are very similar we feel it's nice to see the data as-is.

We hope you found this page useful! We'd love to hear from you - get in touch by email or on Twitter! Be sure to subscribe to our mailing list for further updates.

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