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.
1,116 documents
This article describes a Bitcoin market-making approach that uses current order-book depth to set bid and ask quotes. It sums displayed quantity through the book to chosen depth levels, places quotes just inside those levels, and widens them when the…
This document explains how an FMZ strategy can use a reusable WebSocket template to receive exchange market data with less delay than repeatedly polling REST endpoints. It describes persistent subscriptions for depth and trade channels, handling updates…
The document describes Penny Jump, a high-frequency idea that reacts to unusually large displayed limit orders. It interprets a large bid as possible buying support, then proposes placing a bid one tick above that price to improve queue position. If the…
The document shows how to run exchange requests concurrently from a JavaScript trading strategy by calling Go-backed asynchronous functions. It begins with sequential order-book requests and explains that waiting on each request in turn can add latency,…
This study uses one day of aggregated HOOK/USDT trade data to examine buy volume over different time intervals, trade frequency, and price impact. It argues that interval-level volume distributions can be approximated by scaling a model of single-trade…
This installment explains two parts of a high-frequency spot strategy: periodic inventory balancing and the main price burst logic. It estimates account net value by marking held and frozen assets to the best bid, logs changes, and tracks the asset share…
The document describes a crypto spot market-making approach inspired by repeated large market sells in STORJ. The author observed frequent sell bursts that pushed the price down briefly before it recovered, and interpreted the pattern as an iceberg execution…
The document explains how a crypto exchange market-making bot can create artificial trading activity by placing buy and sell orders near the current market, sometimes matching its own orders to produce chart history. Because those orders are not perfectly…
This beginner guide surveys common crypto strategy categories, including arbitrage and hedging, trend following, grid style reversion, and high frequency approaches. It also distinguishes strategies by design, such as single or multiple instruments,…
This article explains why OHLC candlestick backtests can mislead when evaluating high-frequency or multi-instrument strategies. Bars omit the timing of their highs and lows, do not show the best bid and ask needed to model matching, and cannot reliably…
This high-frequency market microstructure analysis uses Binance best-bid and best-ask price and size data for YGG on a volatile day. It examines how quote spread and top-of-book quantities changed, then defines imbalance from the relative sizes of the best…
This article explains two limit order book signals. Volume imbalance compares displayed quantity at the best bid and ask, scaled so that positive values indicate relative bid-side pressure and negative values indicate ask-side pressure. Order flow imbalance…
The article argues that traders should identify and validate both the source of a strategy’s expected return and the risks that could undermine it. Its example is a proposed short-horizon signal: infer one exchange’s upcoming displayed prices from related…
This article presents a short-term trading idea based on a claimed lead-lag relationship between two related crypto contracts. When the leading contract moves, the strategy measures the relative price change and trades the lagging contract if the difference…
The author describes a high-frequency strategy traded on a newly listed crypto perpetual contract during a period of heavy volume, sharp price swings, and large differences between futures and spot prices. The account reportedly grew from 100 USDT to 8,800…
This overview sketches several automated crypto strategies. Its main examples are funding-rate arbitrage, which pairs a short perpetual futures position with a spot long to seek funding income, and spot grid trading, which places paired buy and sell levels…
The article outlines a crypto perpetual-futures strategy that combines short-term trend detection with market making. It first evaluates recent trade flow, order size and frequency, spread, and average transaction prices, then uses order-book depth to choose…
This article presents a modified high-frequency crypto strategy for a single-direction perpetual contract. It builds a short-term reference price from several levels of the order book, tracks recent trade volume, and compares the latest reference price with…
The document explains why candle-based backtests can mislead, especially for high-frequency and multi-instrument strategies. Candles omit the timing of trades and bid-ask quotes, making it hard to reconstruct simultaneous prices or realistic fills. They also…
This analysis studies aggregated trades for a newly listed crypto perpetual contract, focusing on buy-trade arrival intervals and counts within short time buckets. It compares observed behavior with a Poisson process, whose assumptions imply a stable event…
The document explains recursive methods for tracking a sample mean and variance as observations arrive, then extends the discussion to exponentially weighted statistics. These updates keep the current estimates rather than the full history, which can reduce…
The article describes a high-frequency strategy for Binance perpetual contracts, illustrated by a five-day run during volatile FIL trading. It reports a large return from a small initial deposit, but provides no independently verifiable account records or…
The article outlines a cryptocurrency high-frequency approach that combines short-term trend detection with two-sided quoting. It first gauges direction from recent trade flow: average trade size and frequency, spread changes, and buy and sell execution…
The article describes a short-term spot market-making idea prompted by repeated, large market sells in STORJ. The author interprets the regular sell flow and temporary price dips followed by recovery as signs of an iceberg execution strategy. The proposed…