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A scale order places multiple limit orders spread across a price range, submitted together. Where TWAP splits an order across time, a scale order splits it across price. The distinction is what you are willing to be uncertain about. TWAP accepts whatever price the market gives at each interval. A scale order fixes the prices and accepts uncertainty about how much fills — you will only be filled where the market actually trades.

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Why ladder

Averaging into a range. Choosing one entry price is a timing bet. Spreading across a range means you accumulate as the market moves through it, and your average reflects the range rather than one moment. Reducing impact. A single large limit order at one price is a wall. Split across levels, the same size sits closer to how natural liquidity is distributed and is less likely to be traded around. Concealing intent. A large resting order is a visible signal. Several smaller ones across a range say considerably less about what you are doing.

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Parameters

Prices are spaced evenly between the two ends. Size distribution is controlled by skew.

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Skew

Skew is the ratio between the size at the end price and the size at the start price.
Skew = 1 · even
Skew = 4 · weighted toward the far end
Same total size of 1.0, same four prices — only the distribution differs.
A buy ladder: skewing toward the far end commits more capital only if price falls further.
50,0000.25
49,8000.25
49,6000.25
49,4000.25
50,0000.10
49,8000.20
49,6000.30
49,4000.40
The practical use: skewing weight toward the far end of a buy ladder means committing more capital only if price falls further, which is a different bet from committing evenly. It expresses conviction about where in the range you want the position.

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Validation

The whole ladder is checked before any of it is placed:
  • Every individual order must satisfy the market’s minimum and maximum order size
  • The total must satisfy initial margin
  • If reduce-only, the total must not exceed your current position
If any level fails, nothing is placed. A partially-placed ladder would be neither the strategy you specified nor one you would have chosen. Before submitting, the first and last orders of the ladder are shown so you can confirm the range and sizing are what you intended.

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After placement

Once placed, these are ordinary limit orders. There is no strategy running behind them. That means you can cancel or modify any of them individually, they rest and fill independently, and nothing rebalances if only part of the ladder fills. If price sweeps through half your range and reverses, you hold half a ladder and the rest stays where it is — there is no catch-up mechanism, because a scale order is a placement, not an execution algorithm.
Using post-only for the ladder guarantees every level earns the maker fee. It also means any level that would cross the book on placement is rejected rather than filled — which can silently leave gaps in a ladder placed too close to the touch.

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Where to go next

TWAP

Splitting across time instead of price, with catch-up.

Order types

Post-only, GTC, and IOC as applied to each level.

Modify orders

Adjusting individual levels after placement.

Fees

Maker fees on resting ladder levels.