Perp DEX cost invariance: all-in bps at $1M vs $1k, live slope ranked
Ratio of all-in opening cost at $1,000,000 vs $1,000 notional, per venue per asset. A venue with flat cost at every size scores 1.00. A deeper book scores closer to 1.00 than a thin one. Oracle-priced venues (no orderbook to walk) always score 1.00 by construction.
TL;DR. As of , gains.trade leads cost slope ($1m / $1k) at 1.000x (p50, 24h) on Perp DEX cost invariance: all-in bps at $1M vs $1k, live slope ranked. Source: OpenChainBench, https://openchainbench.com/benchmarks/perp-cost-slope.
Every perp DEX comparison article ranks venues by their published taker fee rate. That number is size-independent by design: 4.5 bps on Hyperliquid costs the same at $1,000 and $1,000,000 in taker fee alone. What changes is the price impact from walking the orderbook. A $1M market order eats deeper into the book than a $1k order, so the spread component grows. Venues with no orderbook (oracle-priced: gains.trade, GMX v2) are immune to this effect because there is no book to walk: the protocol charges a flat percentage of notional regardless of size. On those venues, a $1M trade costs exactly the same number of bps as a $1k trade, giving a cost slope of 1.00. On an orderbook venue the slope exceeds 1.00 by however much impact the extra notional adds. The wider the gap above 1.00, the more the venue penalises large orders relative to small ones. A venue whose visible book cannot absorb $1M at all shows no slope because the $1M tier is skipped: that absence is a depth signal stronger than any ratio. This benchmark derives its slope directly from the existing perp-fees harness, which already measures all-in bps at $1k, $10k, $100k and $1M per venue per asset every five minutes.
Methodology
The cost slope is the ratio of a venue's all-in opening cost at $1M notional to its all-in cost at $1k notional. Both terms come from perp_fees_all_in_bps_tier, the multi-tier companion series already published by the perp-fees harness (bench 007). No new data collection is required: the bench derives the ratio in PromQL at query time. A ratio of 1.00 means the venue charges the same basis points per unit of notional at $1M as at $1k, which is only possible for oracle-priced venues where the fee is a flat percentage of position size with no orderbook to walk. For orderbook venues the ratio rises above 1.00 because deeper book levels carry progressively wider prices. The companion fill-rate panel shows the fraction of measurement cycles in which the $1M tier was successfully filled: venues that cannot reliably absorb $1M show a fill rate below 1.00, which is a stronger signal than any slope number. Data is refreshed every five minutes from the perp-fees harness. The chain tabs scope the board to ETH, BTC or SOL individually so the slope of a thin SOL book is not mixed with a deep ETH book.
Frequently asked
What does cost slope of 1.00 mean?
A cost slope of 1.00 means the all-in basis points for a $1M trade are identical to a $1k trade on that venue. This is only possible for oracle-priced venues where the fee is a flat percentage of notional and there is no orderbook impact term.
Why are gains.trade and GMX always 1.00?
Both venues use oracle pricing with no orderbook. Their open fee (totalPositionSizeFeeP on Gains, positionFeeFactor on GMX) is a flat percentage of position size. Trading $1M costs the same bps as $1k by construction. This is the core design tradeoff: flat cost at any size, in exchange for using a price oracle rather than a live orderbook.
What does N/A in the slope column mean?
The venue's visible book could not absorb $1M of notional during the measurement period. The perp-fees harness skips a tier rather than extrapolate when the book depth is insufficient, so the $1M all-in gauge is absent. No slope can be computed. The fill-rate panel shows what fraction of cycles the $1M tier was successfully filled.
Is a 1.00 slope always better?
For a trader placing a $1M order: yes, a flat cost is better than a rising one. For a trader placing a $1k order: the slope is irrelevant because both the taker fee and the spread at small notional dominate regardless. The headline perp-fees bench (bench 007) covers the $1k case; this bench covers the size-scaling dimension.
Can an orderbook venue ever match 1.00?
In theory an infinitely deep book would have zero price impact at any size, giving a slope of exactly 1.00. In practice no onchain orderbook reaches that depth for sizes above $100k on SOL or above $1M on ETH or BTC. The fill rate panel shows how often a venue actually absorbs the full notional.
How does this differ from the perp-fees bench?
perp-fees (bench 007) ranks venues by absolute all-in cost at $1k notional. This bench ranks the same venues by how much their cost grows between $1k and $1M. A venue cheap at $1k can be expensive at $1M if its book is thin. The two benches together give a full picture: absolute cost at small size plus sensitivity to larger size.
Source code github.com/ChainBench/OpenChainBench/tree/main/harnesses/perp-fees