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
The document describes a high-frequency trading approach that looks for short-term lead-lag relationships among cryptocurrency exchanges. It compares midpoint prices from several venues, measures each venue’s move against its previous observation using a…
This article explains the account-balancing and polling logic of a cryptocurrency high-frequency strategy. It tracks cash and coin balances, estimates portfolio value using the best bid, and measures the coin’s share of total account value. When that share…
The document explains how an exchange market-making bot can create chart activity by placing near-simultaneous buy and sell orders. Network and matching delays can leave one order exposed long enough for another trader to fill it, potentially buying from the…
This document presents a pattern for running multiple exchange operations concurrently from a JavaScript trading strategy. Sequential requests for market depth can accumulate network delay; the platform’s Go wrapper allows calls to be launched asynchronously…
This article explains a platform-specific way to feed WebSocket quotes into an existing strategy without editing its core logic. It uses a reusable template library whose initialization function opens a supported exchange connection and replaces a…
This tutorial uses historical tick-level replay to explore order book imbalance and develop a simple short-horizon crypto strategy. It describes replaying market data at adjustable speeds, inspecting trades and multiple levels of depth, and using replay as a…
This study explores whether order book imbalance and recent trade activity can improve short-horizon estimates of cryptocurrency prices. Using exchange trade and depth records sampled at 100-millisecond intervals, it compares the squared-error estimates from…
The document shows how to subscribe to MEXC’s WebSocket trade stream from the FMZ platform and decode its binary Protocol Buffers messages into readable fields. It introduces the relevant message schema, demonstrates loading a JavaScript protobuf library,…
The document explains why a rented server can provide a more dependable place to run automated trading software than a personal computer. It outlines server basics, provider and operating system choices, remote login, and common Linux tasks used to download,…
This article introduces a crypto maker strategy that posts buy and sell orders during choppy markets. It identifies potential returns from capturing price movement and maker fee rebates, then describes two design challenges: choosing order distances that…
This article describes a crypto perpetual-futures strategy that combines short-term trend detection with passive market making. It uses aggregated trades to estimate the size and frequency of buyer- and seller-initiated activity, while order-book depth and…
This introductory guide outlines C++ concepts used to build quantitative trading strategies and shows how they fit into a platform trading loop. Its worked example uses MACD line comparisons to open or close long and short positions, checks for fresh…
This analysis tests whether cryptocurrency futures trade arrivals follow a Poisson process, using aggregated YGGUSDT trades from a volatile trading day. It examines buy-side trade intervals and the number of orders observed per second. The observed…
This overview compares six programming language categories for quantitative trading: visual programming, EasyLanguage-style tools, Python, Matlab and R, C++, and Java or C#. It evaluates them qualitatively on functional range, speed, extensibility, and…
This guide explains how to use FMZ’s Dial function to connect to cryptocurrency exchange WebSocket feeds, subscribe to channels, read messages, and manage multiple connections. It contrasts WebSocket streams with REST calls, noting the potential advantages…
This analysis studies aggregated buy-trade amounts and price movements using exchange trade data. It resamples individual transactions into fixed time intervals and tests whether the distribution of total traded quantity can be approximated by scaling a…
This article compares bar-based and tick-based backtests, focusing on how coarse bars can hide the path prices took within a period. That ambiguity can produce unrealistic fills or conceal whether a stop would have triggered before a favorable exit. It also…
The article explains a passive market-making approach that tries to move ahead of a large visible order by placing a limit order one tick better. A trader watches the order book for a sizable participant whose order may act as support or resistance, then…
This account describes a simple Bitcoin market-making method that sets buy and sell limits from cumulative order-book depth. It scans bids and asks until each side reaches a chosen quantity, then places quotes just inside those levels. If the resulting…
The article describes Deribit’s migration to a new matching engine designed to reduce order-handling latency and make it more consistent. It compares six-day periods before and after broad adoption, reporting substantial reductions in median,…
The article uses an ETH liquidation heatmap to identify price areas where leveraged positions may be forced to close. It describes a pool near $1,975 that was partly reached on July 2 and a remaining concentration that later joined a higher pool, forming a…
The article proposes interpreting Bitcoin’s range-bound price action through recurring leveraged-position liquidations. It describes a liquidation heatmap that estimates price zones where leveraged traders’ liquidation points and stop losses cluster, then…
The essay defines spoofing as placing orders intended to mislead other participants and cancel before execution. It reviews several litigated cases to show that order size, rapid cancellation, or unusual trading alone cannot establish intent. Enforcement…
The document describes Starbase, Deribit’s planned high-performance matching engine, and its intended role in consolidating the exchange with Coinbase International Exchange. It outlines an architecture aimed at microsecond execution and earlier…