Cross-Exchange Lead-Lag Signals for High-Frequency Crypto Trading
Summary
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 neutral readings using a threshold, and combines those readings into a directional signal. Before each new order, the example cancels outstanding orders, then places a buy or sell on the target venue. It also describes running the approach across accounts and pairs, with leverage and risk monitoring.
The article says the referenced strategy once performed well but is no longer usable, and presents its code as an illustrative simplification. It reports no quantified backtest or live results. The author identifies market efficiency, fees, exchange limits, latency changes, slippage, liquidity, and volatility shifts as reasons the effect may disappear or turn unprofitable. The example's performance depends on timely, valid data and execution quality; its claim that per-order losses need not trigger stops is not supported by evidence and should not be read as proof of low risk.
Key ideas
- Compare mid-price changes across exchanges to identify possible short-lived leadership and lag.
- Combine threshold-based directional readings into a market-wide signal for the target venue.
- Cancel prior pending orders before placing a new order to limit stale exposure.
- Fees, slippage, liquidity, venue rules, and market adaptation can erase the opportunity.
- The implementation is illustrative and does not establish current profitability.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.