FMex Perpetual Order-Book Strategy with Position Caps
Summary
This document describes a BTCUSD perpetual strategy that places post-only limit orders at multiple price levels, with a stated bias toward holding a long position. It separates distant queue orders from nearer market-making orders and describes checking open orders and positions, cancelling orders, and reducing exposure when long or short holdings exceed configured limits. It also includes a price-range pause and a brief order-book imbalance routine that places layered orders. The source excerpt shows API polling, cancellation, order placement, and position-cleanup logic; it does not provide backtest results or measured returns.
The approach is highly dependent on venue behavior, execution, fees, liquidity, and the handling of partially filled orders. The document warns that leveraged margin trading can result in a total loss and notes that bugs are possible. Its position limits and order sizes are configurable, but those settings alone do not establish effective risk control. The strategy’s order-book signals and queue placement are described operationally rather than supported with evidence that they produce an edge.
Key ideas
- The strategy layers post-only limit orders at several prices and tends to maintain long exposure.
- It monitors position size and submits opposing orders to reduce holdings that exceed configured caps.
- A price-range check pauses order placement when the market moves outside configured bounds.
- Venue execution, liquidity, leverage, and implementation errors create substantial risks; no performance evidence is given.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.