A Crypto Strategy Combining Burst Signals with Inventory Rebalancing
Summary
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 moves outside a target band, the strategy places small orders to rebalance, waits, and cancels outstanding orders. It also periodically records estimated account value.
The main signal compares recent prices with local highs and lows to detect sharp upward or downward moves. A detected burst sets a planned trade size based on available cash or coin, then scales that size according to recent trading volume and the number of polling cycles. The strategy submits orders, cancels those that remain pending, checks fills, and adjusts subsequent order size and price. The article walks through implementation logic rather than presenting a systematic performance study. It provides no independent validation of profitability, and its rapid order handling, inventory exposure, fees, slippage, and exchange behavior are important practical constraints.
Key ideas
- The strategy monitors the coin’s share of account value and rebalances when it leaves a preset band.
- It estimates portfolio value by marking coin holdings to the current best bid.
- Short-term bursts are detected by comparing recent prices with nearby highs or lows.
- Planned trade size is reduced using volume and polling-cycle adjustments.
- Pending orders are canceled and fills are checked before the strategy updates its next action.
- The article explains implementation mechanics but does not establish robust live performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.