Crypto Market Making with Layered Limit Orders and Reference Prices

Summary

The document describes a cryptocurrency market-making robot that places multiple buy and sell limit orders around a chosen reference price. The reference can come from the traded instrument’s order book, a marked contract price, or an index price. Users set the order size, the offset of the nearest quotes, and the number of quote levels; each additional level is spaced by the same offset. The stated rationale is to earn from price inefficiencies and exchange rebates for supplying liquidity.

The document shows example trading and strategy-test figures, including a BTCUSD test with real ticks and stated delay, but does not provide enough detail to evaluate robustness, profitability after fees, or live execution quality. It is exchange-specific, and its outcome would depend on the venue’s rebate schedule, contract pricing, market depth, and order handling. The order-placement outline alone does not specify inventory controls, adverse-selection safeguards, or risk limits, so it is not a complete trading plan.

Key ideas

• The robot places buy and sell limit orders at multiple levels around a selected reference price.
• The reference can be based on the traded market depth, a marked price, or a contract index.
• Order size, initial price offset, and quote-level count determine the layout of orders.
• The stated revenue sources are price inefficiencies and rebates for providing liquidity.
• The example test results do not establish robustness or live profitability, and the setup is tied to one exchange.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.