Crypto Perpetual Market Making with Bar Portion Signals
Summary
The paper develops automated market-making strategies for cryptocurrency perpetual contracts. It explains pure market making through paired buy and sell limit orders, with the reference price and spread shaping quote placement. Its proposed Bar Portion signal is derived from candlestick data and is compared with a MACD baseline; a triple-barrier scheme sets profit, loss, and time exits. It also discusses parameter tuning and risk controls in the Hummingbot framework.
The study uses one-minute candles for a selected universe of liquid perpetual markets, then reports a short live-trading comparison on three crypto pairs. It describes Bar Portion as outperforming the baseline in that limited trial, but the evidence is narrow: the live period is only 24 hours, and the analysis relies on candles rather than order-book data. Results may not generalize across assets, market conditions, or execution settings, and the paper itself points to cross-frequency analysis and broader strategy combinations as further work.
Key ideas
- Pure market making places buy and sell quotes around a reference price, with the spread balancing expected returns and inventory risk.
- The Bar Portion signal is built from candlestick information and is evaluated against a MACD baseline.
- A triple-barrier exit framework uses profit, loss, and time thresholds to manage positions.
- The paper reports a limited live comparison across three perpetual pairs, so its findings may not generalize.
- Candlestick data is easier to obtain than full order-book data but gives a less detailed view of execution conditions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.