Fees

Fees come from a config file. Never from the venue. A venue’s published schedule is its public retail tier, routinely an order of magnitude away from a negotiated rate — 40/60 bps advertised against 0/4 bps actually paid. Since routing picks venues on all-in price, published fees make it route wrong on every order.

fees.toml

[binance]                 # per-venue default
maker_bps = 1.0
taker_bps = 4.0

[binance."BTC/USDT"]      # per-symbol override
maker_bps = -1.0          # a rebate is a negative fee
taker_bps = 3.5

config = {"market_data": {...}, "fees_bps": "fees.toml"}

Rules

Negative is first-class

A maker rebate is a negative fee. The arithmetic handles the sign with no special case.

Validated at startup

Every configured venue and symbol must have an entry.

Missing is fatal

A missing entry raises. It is never a silent zero.

FeeError: Fee schedule is incomplete, missing: okx ETH/USDT

How they apply

bid_all_in = bid × (1 − fee)
ask_all_in = ask × (1 + fee)

The consolidated book is taker-adjusted, because taker is what you pay to cross it. Maker rates are there for your own quote pricing. Worked against a raw price of 100:

	Fee	All-in
Bid	taker 5 bps	99.95	you receive less
Ask	taker 5 bps	100.05	you pay more
Bid	maker −1 bp	100.01	the rebate pays you
Ask	maker −1 bp	99.99

A sign error on a rebate is a silent, permanent routing bug: nothing crashes, nothing looks wrong, and every decision is subtly backwards. There is a dedicated test pinning these exact numbers.

Execution

⌘I

Start here

Core concepts

Rules

Negative is first-class

Validated at startup

Missing is fatal

How they apply

​Rules

Negative is first-class

Validated at startup

Missing is fatal

​How they apply

Rules

How they apply