maker-order-preference-fee-reduction

name	maker-order-preference-fee-reduction
description	Use when placing any perpetual order on HyperLiquid to minimize fees via maker (post-only) order preference, understand when taker execution is justified, and calculate break-even fee impact on trade edge.
category	agentic

Maker Order Preference — Fee Reduction

When This Skill Activates

Apply this skill on every order placement decision for HyperLiquid perpetual positions. Fee structure directly impacts realized edge — a strategy with a 0.10% expected move and 0.12% round-trip taker cost has negative expected value before any other consideration.

Also apply when:

• Sizing a position where the entry method (maker vs. taker) meaningfully changes whether the trade has positive expected value
• Evaluating whether to close a winning position via limit or market order
• Managing a partial fill situation where the remainder must be re-queued
• Designing execution logic for any automated strategy component

---

Core Principle

On HyperLiquid, the fee differential between maker and taker is not marginal — it is structural. Maker orders add liquidity and earn a rebate; taker orders remove liquidity and pay a fee. At meaningful position sizes, this difference compounds across hundreds of trades into a significant drag or tailwind on overall P&L.

Rule: Default to maker (post-only) for all entries and exits where fill certainty is not time-critical. Reserve taker execution for defensive exits, cascade closures, and time-sensitive entries where the cost of missing the fill exceeds the fee premium.

---

HyperLiquid Fee Structure

Current Maker/Taker Schedule (Verify at /info → meta before trading)

Tier	30d Volume (USD)	Maker Fee	Taker Fee	Maker Rebate vs. Taker
Base	< $1M	-0.010% (rebate)	+0.035%	0.045% per side
Tier 1	$1M–10M	-0.010% (rebate)	+0.035%	0.045% per side
Tier 2	$10M–100M	-0.012% (rebate)	+0.030%	0.042% per side
Tier 3	> $100M	-0.014% (rebate)	+0.025%	0.039% per side

Always fetch the live fee schedule via /info before computing break-even targets — HyperLiquid has updated fees historically and may do so again. Never hardcode fee values in strategy logic.

Round-Trip Cost Comparison

# Base tier, per $10,000 notional:
maker_round_trip = (-0.010% + -0.010%) × $10,000 = -$2.00   (net rebate earned)
taker_round_trip = (+0.035% + +0.035%) × $10,000 = +$7.00   (net fee paid)

differential_per_10k = $9.00   # maker earns $9 more than taker per $10k notional

At $100k notional per trade, maker vs. taker is a $90 differential per round trip. For a strategy doing 10 round trips/day, that is $900/day or ~$270,000/year — entirely from order type selection.

---

Order Type Reference

Post-Only Limit (Maker) — tif: "Alo"

{
  "orders": [{
    "a": 0,
    "b": true,
    "p": "91500.0",
    "s": "0.1",
    "r": false,
    "t": {"limit": {"tif": "Alo"}}
  }],
  "grouping": "na"
}

• "Alo" = Add Liquidity Only (post-only). Order is rejected immediately if it would cross the spread and execute as a taker.
• Earns maker rebate on fill.
• Use for: all pullback entries, all TP limit orders, non-urgent exits.
• Handling rejection: if "Alo" rejects, the price has moved through your limit. Reassess entry — do not automatically retry as taker unless the defensive exit protocol applies.

GTC Limit (May Cross) — tif: "Gtc"

{"t": {"limit": {"tif": "Gtc"}}}

• Rests on the book as maker if it doesn’t immediately cross; executes as taker if it does cross at time of placement.
• Risk: if market moves to your limit at the exact moment of placement, you pay taker fee unexpectedly.
• Use only when order placement timing is not your control (e.g., a bracket order placed simultaneously with an entry).
• Prefer "Alo" over "Gtc" whenever maker-only execution is the intent.

Immediate-or-Cancel Market-Like — tif: "Ioc"

{"t": {"limit": {"tif": "Ioc"}}}

• Fills immediately at available prices; cancels any unfilled remainder.
• Always pays taker fee.
• Use for: cascade exits, kill-switch execution, time-sensitive defensive closures where fill certainty outweighs fee cost.

Market Order

{"t": {"market": {}}}

• Guaranteed fill at best available price.
• Always pays taker fee; highest slippage risk.
• Use for: emergency exits only (cascade CRITICAL, kill-switch trigger, liquidation prevention). Never use for routine entries or exits.

---

Break-Even Fee Calculation

Before placing any order, compute whether the expected move justifies the fee cost at the chosen order type:

def fee_break_even(
    expected_move_pct: float,
    entry_tif: str,        # "Alo" or "Ioc"/market
    exit_tif: str,         # "Alo" or "Ioc"/market
    maker_fee: float = -0.00010,   # fetch live; base tier default
    taker_fee: float = 0.00035,
    leverage: float = 1.0,
) -> dict:
    entry_fee = maker_fee if entry_tif == "Alo" else taker_fee
    exit_fee  = maker_fee if exit_tif  == "Alo" else taker_fee
    round_trip_fee = entry_fee + exit_fee

    # On a leveraged position, fees are on notional but P&L is on margin:
    fee_on_margin = round_trip_fee * leverage

    net_edge = expected_move_pct - round_trip_fee   # on notional
    net_edge_on_margin = (expected_move_pct / leverage) - round_trip_fee  # ROE basis

    return {
        "round_trip_fee_pct": round_trip_fee * 100,
        "net_edge_on_notional_pct": net_edge * 100,
        "net_edge_on_margin_pct": net_edge_on_margin * 100,
        "is_positive_ev": net_edge > 0,
        "minimum_move_to_break_even_pct": round_trip_fee * 100,
    }

# Example: 0.10% expected move, maker entry + maker exit, 5x leverage
# round_trip_fee = -0.010% + -0.010% = -0.020% (net rebate)
# net_edge_on_notional = 0.10% - (-0.020%) = +0.120%  → positive EV
#
# Same trade with taker entry + taker exit:

Minimum Edge Requirements by Order Type Combination

Entry	Exit	Round-Trip Cost	Min Move to Break Even
Maker (Alo)	Maker (Alo)	-0.020% (rebate)	Any positive move
Maker (Alo)	Taker (Ioc)	+0.025%	> 0.025%
Taker (Ioc)	Maker (Alo)	+0.025%	> 0.025%
Taker (Ioc)	Taker (Ioc)	+0.070%	> 0.070%
Market	Market	+0.070% + slippage	> 0.070% + slippage

Implication: Taker-in / taker-out strategies require a minimum 0.07% move just to cover fees before slippage. Scalps targeting < 0.10% moves should only be attempted with maker execution on both legs, or the fee structure eliminates the edge entirely.

---

Execution Decision Framework

Entry Order Selection

Is this entry time-critical (cascade re-entry, breakout momentum)?
├── YES → Is the expected move > 0.10%?
│         ├── YES → Use Ioc taker. Fee justified by urgency + edge.
│         └── NO  → Skip entry. Taker fee eats the edge; wait for pullback.
└── NO  → Use Alo post-only limit at target price.
              If Alo rejects: reassess. Do NOT auto-retry as taker.

Exit Order Selection

Is this a defensive/emergency exit (cascade, kill-switch, stop-loss breach)?
├── YES → Use market order or Ioc. Fill certainty > fee cost.
└── NO  → Is the TP target more than 0.05% from current price?
              ├── YES → Use Alo post-only limit at TP level.
              └── NO  → Consider Ioc if the fill window is very tight
                          and missing the target risks a reversal.

Partial Fill Handling

When an "Alo" order partially fills and the remainder is sitting on the book:

1. Do not cancel and repost as taker unless a defensive exit trigger has fired
2. Check if the remainder is within 0.1% of current mid — if so, allow it to rest and fill naturally
3. If price has moved > 0.3% away from the resting order, cancel and reassess entry level — the setup may no longer be valid
4. Log partial fills to audit JSONL so the RL replay buffer captures the fill quality distribution for this strategy

---

Fee Impact on Strategy-Level P&L

Compounding Fee Drag Across Trade Frequency

def annual_fee_impact(
    trades_per_day: int,
    avg_notional_per_trade: float,
    taker_pct: float = 1.0,    # fraction of trades using taker
    maker_fee: float = -0.00010,
    taker_fee: float = 0.00035,
) -> dict:
    maker_pct = 1.0 - taker_pct
    avg_fee = (maker_pct * maker_fee + taker_pct * taker_fee) * 2  # round-trip
    daily_fee = avg_fee * avg_notional_per_trade * trades_per_day
    annual_fee = daily_fee * 365
    return {"daily_usd": daily_fee, "annual_usd": annual_fee}

# Example: 5 trades/day, $20k notional each, 100% taker:
# annual_fee = 0.070% × $20,000 × 5 × 365 = $25,550/year paid in fees
#
# Same strategy, 100% maker:
# annual_fee = -0.020% × $20,000 × 5 × 365 = -$7,300/year (rebate earned)
#
# Differential: $32,850/year from order type choice alone

Fee Attribution in Backtesting

All backtests must model fees at the order-type level, not as a flat percentage:

# In agentharness.py backtest loop:
def apply_fee(notional: float, order_type: str, fee_schedule: dict) -> float:
    if order_type in ("Alo", "maker"):
        return notional * fee_schedule["maker"]   # negative = rebate
    elif order_type in ("Ioc", "market", "taker"):
        return notional * fee_schedule["taker"]   # positive = cost
    raise ValueError(f"Unknown order type: {order_type}")

Backtests that assume a flat fee (e.g. 0.02% per side) overstate the cost of maker strategies and understate the cost of taker strategies. The distortion can flip a maker strategy from positive to negative Sharpe and vice versa.

---

Failure Modes to Avoid

• Auto-retrying Alo rejections as taker: An Alo rejection means the market moved through your limit price before the order landed. Retrying as taker chases a move that has already happened and pays the full fee spread on a potentially overextended entry.
• Using market orders for TP exits: Market orders on exit pay taker fee and incur slippage. A TP level that is already > 0.05% away from current price should always be a resting Alo limit — there is no urgency on a profitable exit that warrants paying taker fees.
• Ignoring fee structure in scalp strategy design: Any strategy targeting < 0.05% moves with taker execution is structurally unprofitable at base tier fees. Fee structure must be an input to strategy design, not an afterthought.
• Assuming fees are constant: HyperLiquid has changed its fee schedule historically. Always fetch the live schedule from /info → meta at session start and invalidate any cached fee values older than 24h.
• Overlooking the fee-on-notional vs. fee-on-margin distinction: At 10× leverage, a 0.035% taker fee on notional is 0.35% on margin. A strategy targeting a 0.30% ROE on margin is immediately underwater on a taker round trip at 10× leverage. Always state and calculate fees on the correct basis for the strategy’s risk framework.
• Misclassifying Gtc as a guaranteed maker order: Gtc will cross the spread and pay taker if placed when market price is inside the order price. Only Alo guarantees post-only execution. Use Alo when maker fee is the intent.

---

Integration with Other Skills

• limit-offset-bps-calculation (execution/): Defines how far inside/outside the spread to place Alo orders to maximise fill probability without crossing. Run that skill first to determine the limit price; this skill determines the tif parameter.
• liquidation-cascade-risk (regime-detection/): CRITICAL and HIGH cascade protocols override maker preference. During cascade exits, fill certainty always takes priority over fee optimization.
• high-funding-carry-avoidance (regime-detection/): Kill-switch exits triggered by funding + drawdown conditions use market/Ioc orders regardless of fee impact. Fee optimization never delays a risk-mandated exit.

---

Audit JSONL Schema

{
  "event": "order_placement",
  "asset": "BTC",
  "timestamp_utc": "2026-04-07T22:00:00Z",
  "side": "buy",
  "notional_usd": 15000,
  "order_type": "Alo",
  "limit_price": 91450.00,
  "tif": "Alo",
  "fee_rate_pct": -0.010,
  "fee_usd": -1.50,
  "fill_status": "filled",
  "fill_price": 91450.00,
  "slippage_bps": 0,
  "rationale": "pullback_entry_fib_500",
  "defensive_override" 

Log defensive_override: true whenever taker execution is chosen for a risk-mandated reason. This allows the RL replay buffer to learn the correct fee-vs-fill-certainty tradeoff rather than penalising all taker executions uniformly.

---

Quick Decision Tree

New order to place — what tif?
│
├── DEFENSIVE EXIT (cascade/kill-switch/stop breach)?
│     └── YES → Market or Ioc. Fee irrelevant. Speed is everything.
│
├── TIME-CRITICAL ENTRY (breakout/post-cascade re-entry)?
│     ├── YES + expected move > 0.10% → Ioc taker. Justified.
│     └── YES + expected move ≤ 0.10% → Skip. Fee kills the edge.
│
└── ALL OTHER ENTRIES AND EXITS → Alo post-only limit.
      ├── Alo fills → earn maker rebate. Log fee_rate = -0.010%.
      └── Alo rejects → price moved. Reassess. Do NOT retry as taker.