Crypto High-Frequency Trading with Order Flow and Market Making
Summary
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 prices and submits a maker order intended to be closed promptly. The author also discusses operational prerequisites such as low-latency connectivity, exchange rebates, and choosing less competitive markets, along with measures for evaluating fills, cancellations, and rebate dependence.
The account is based on the author's experience: an earlier version reportedly earned profits for a period, then declined before being revised. No audited performance series or controlled comparison is provided. The indicators and code are explicitly simplified examples, and the author warns that market conditions and competition change quickly. Profitability may depend substantially on fee rebates, and the framework requires careful monitoring, gradual sizing, and further development; the article does not establish that its signals generalize across currencies or venues.
Key ideas
- The proposed strategy combines order-flow trend assessment with maker orders that seek to avoid holding inventory.
- Trade size, trade frequency, spread, and transaction prices are used to characterize short-term buying and selling pressure.
- Order-book depth informs placement prices, while execution and rebate metrics help assess strategy performance.
- Rebates, latency, and market competition can materially affect whether high-frequency trading is viable.
- The indicators and code are illustrative and require adaptation and testing for each market.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.