A Crypto High-Frequency Strategy Combining Trend Signals and Market Making
Summary
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 prices over a short rolling window. When those measures align, the strategy places orders at depth-based prices sized in relation to opposing trade flow. The stated aim is to sell promptly after a fill rather than carry a lasting position. The architecture uses exchange WebSocket streams for trades, depth, orders, and account updates.
The author emphasizes maker rebates, low latency, and choosing less competitive markets, while describing competition as increasing and prior profits as having declined. Suggested monitoring includes realized closing returns, latency, failed and executed orders, trading volume share, and rebate dependence. The piece provides simplified code and operational advice, but the supplied text is incomplete and offers no independent performance study. Its reported profitability is the author’s experience; results may vary by venue, fees, market activity, and execution speed.
Key ideas
- The strategy combines short-term trade-flow trend signals with market-making orders.
- Trade size, frequency, spread, and average execution prices are measured over a rolling window.
- Depth-based quotes and order sizes are intended to capture flow while limiting inventory exposure.
- Maker rebates, latency, and competition can materially affect whether the approach is viable.
- Monitoring should include closing returns, order outcomes, latency, volume share, and rebate reliance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.