Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
80 documents
This introduction explains how FMZ’s visual editor assembles trading logic from connected blocks. It covers snapping blocks together, configuring inputs, using defaults, copying and arranging modules, and saving a strategy. The examples show utility blocks…
This brief note examines how trading fees affect the spread available to a triangular hedging strategy. It points readers to two research notebooks: one using the default fee setting and another adjusted for a different fee rate. Its central lesson is that…
This note presents a rudimentary BTC futures strategy prototype that monitors order books on two exchanges. When the bid on one venue exceeds the ask on the other by a specified spread, the example opens a short on the first exchange and a long on the…
The article describes a taker-style spot arbitrage method for capturing temporary price gaps across crypto exchanges. It proposes fetching order books concurrently, combining eligible ask and bid levels, and ranking them after adjusting prices for exchange…
This article explains the design of a C++ strategy for hedging the calendar spread between near and deferred cryptocurrency futures contracts. It outlines the basic position logic: when the spread is positive, it sells the deferred contract and buys the…
This tutorial outlines a monitor for a Curve stablecoin pool that compares a token’s implied exchange value with an assumed acquisition cost. It reads token metadata and wallet balances from the pool and token contracts, estimates the output for a proposed…
The document introduces a trading terminal designed to manage several exchange accounts and markets from one customizable screen. Users can bind exchange and trading-pair modules into groups, arrange market data, order books, account and position information…
The article explains crypto execution through three layers: a macro trader schedules child orders over time, a micro trader chooses order type and price, and a smart router distributes orders across exchanges. It describes market impact, thin liquidity,…
This document explains cross-exchange arbitrage that seeks to profit when the same cryptocurrency has different prices on two exchanges. The basic method compares one venue’s ask with another’s bid, buys on the cheaper venue, and sells on the dearer one. It…
This article outlines a market-neutral funding-rate strategy: hold spot while shorting a perpetual futures contract, aiming to collect funding when the rate is positive. It explains how funding payments are intended to keep perpetual prices near spot and…
The document argues that trading offsetting contracts on two exchanges cannot reliably move assets from one venue to another. Its reasoning is that the proposed transfer depends on one account’s losses creating a corresponding benefit for the other. That…
The article distinguishes futures–spot arbitrage from calendar and cross-market spread trades. In a futures–spot position, a trader buys the commodity in the spot market and sells futures when the futures premium is considered unusually wide, expecting…
The document describes a spot arbitrage method that compares order books across exchanges to identify temporary price gaps. It proposes collecting market data concurrently, combining asks and bids, and adjusting prices for exchange fees before ranking…
This article develops a systematic approach to finding multi-asset relative-value baskets rather than manually selecting pairs. It arranges log prices in a matrix, uses singular value decomposition to separate common factors from residual directions, and…
This document describes a monitoring system for price differences between decentralized and centralized exchanges. It groups configured venues by exchange type, normalizes symbol names that vary across platforms, loads market precision, and requests order…
This article explains a one-times-leveraged short position in a coin-margined perpetual contract as a way to seek funding payments while keeping the position’s dollar value relatively stable. It describes how fixed-value contracts change the amount of coin…
This introduction explains lead-lag trading as acting on a price move in one market before a related market has fully adjusted. Examples include using prices on higher-liquidity exchanges as signals for slower venues, monitoring correlated altcoins after…
The document outlines a high-frequency strategy that treats price movements at several large crypto exchanges as leading signals for a target exchange. It compares synchronized order book mid-prices with their prior values, assigns upward, downward, or…
The article surveys four cryptocurrency strategies. A funding rate trade pairs a short perpetual futures position with a long spot holding to seek positive funding while hedging directional exposure. The discussion covers negative funding, premium changes,…
The document defines quantitative trading as using computers, mathematics, and statistical methods to build systems that generate buy and sell signals. It outlines the field’s development and describes backtesting, objective decision rules, faster…
The document outlines a maker-style hedge between spot and futures markets for the same asset. It monitors both order books, places a buy on one venue and a sell on the other when the quoted spread meets a target, then checks fills and adjusts the hedge as…
This update reviews how competition has altered a cryptocurrency perpetual funding-rate arbitrage approach. It reports that positive entry premiums and extreme negative premiums had become less common, while slippage made attempts to capture premium…
The document explains how separate live trading strategies can exchange signals and data through a broker using a platform's communication interface. It outlines a publisher and subscriber architecture: strategies connect as clients, while a protocol server…
The document describes a semi-automated workflow for manually hedging cryptocurrency futures against spot positions across multiple exchange pairs. A manager collects futures and spot quotes, displays price differences, and provides controls to open or close…