Method note 02
Best ask is not execution cost
A finite order consumes depth. The executable price therefore depends on size, book completeness, slippage and fees.
A quoted level is marginal
The best ask describes the first available unit, not the weighted price of the entire intended order.
Walk the book
BTC5m estimates 50, 100 and 500U separately by walking visible levels. If visible depth is insufficient, the estimate remains unavailable.
Keep the components separate
VWAP, slippage, fee and depth completeness answer different questions. Combining them into one score hides the failure mode.
This note describes observable data and method boundaries. It is not a recommendation for any current market.
Inspect the live methodology