Raphael and Giancarlo - I know you're both probably very busy right now with everything going on.  But when you get a second, could you please address this issue I raised?  I think it's very important, and a cause of confusion for many people.  Thanks!

Based on my understanding, if the price fell to $702 on Bitstamp, you'd actually have to place an order on Bitfinex at $703.755 ($702*1.0025) to ensure execution, based on the price augmentation I discussed.  The problem that I see, however, is that I'm not sure what is actually occurring in the integration process, given the errors I described.  Are Bitstamp orders being integrated into Bitfinex's order book and executed, just with augmentations other than the 0.15% to 0.25% Raphael mentioned?  Or are Bitstamp orders not being integrated at all?  Or are they being integrated based on what Raphael said, but with errors?  I don't know.

I have a question about the new way that Bitfinex integrates the Bitstamp order book.  Raphael has said that now Bitstamp orders are augmented by between 0.15% and 0.25% before being displayed on the Bitfinex order book.  However, take a look at these images of Bitstamp and Bitfinex order books taken at the same time earlier today:

Bitstamp's order book - http://imgur.com/D8TqTks
Bitfinex's order book - http://imgur.com/AKh049t

Based on what Raphael said about price augmentation, the lowest ask on Bitfinex's order book should be no greater than $706.91 ($705.15*1.0025) - the lowest displayed is $709.41. And the highest bid should be no lower than $706.06 ($705*1.0015) - the highest displayed is $704.34. So either what Raphael told us about integration of the two order books is wrong, or the process is error-prone. And I have observed this phenomenon very often. This, to me, is very troubling.  Does anybody have an explanation for this?

Raphael,

Thanks for updating this on us.  I can definitely see how the changes yield some improvements in the interface and the API side of things, and I appreciate those improvements.  However, I do have one concern: the incorporation of commission differences directly into prices now makes it harder to maximize potential gains.  Because if I think, for example, that the price is going to drop to $800 and I want to buy at $800, I used to have the option of setting a buy limit at $800 and then either paying a 0.15% or 0.35% commission depending on the exchange of execution. If I wanted to make sure I didn't pay the higher commission, I could route it through only Bitfinex. Now, however, I'd have to set my buy limit at roughly $801.6 to ensure execution if I think the price will fall to $800, because I don't know if the $800 price will occur on Bitstamp or Bitfinex. While this is fine if the nominal $800 price is reached on Bitstamp and not on Bitfinex, it decreases my potential gains if the nominal $800 price is reached on Bitfinex, because I was not able to set the buy limit at $800 due to the uncertainty of the exchange on which it would occur.

Again, I appreciate the improvements that the changes have brought, but would there be any way to make it possible to place limit orders at prices that are actually present on Bitstamp's order book, not only at prices that are adjusted for potential commission differences?  This would really help the problem I described.  Thanks!