High-Frequency Grid Market Making Across Crypto Exchanges

Summary

This tutorial compares a high-frequency grid market-making strategy across cryptocurrency exchanges, emphasizing that different order flows can change results even for the same trading pair and parameters. The strategy places layered limit bids and offers around a forecast mid-price, adjusts quote distances according to inventory, limits position size, and refreshes orders at short intervals. Its example uses a zero alpha forecast and therefore relies on short-term mean reversion and maker rebates. Backtests model latency, queue position, fees, and order fills, and combine results across assets.

The article presents equity curves and parameter comparisons for Binance Futures and Bybit, including several half-spread settings, but the supplied text does not state precise performance figures. Its Binance example assumes a particularly favorable maker rebate, which can materially affect profitability. The author stresses that exchange-specific order flow and changing volatility regimes affect results, and that tuning each pair separately can overfit. A more general approach would model volatility and order flow across pairs; the article points to future work on a simplified non-parametric method.

Key ideas

• The grid places multiple limit orders around the mid-price and skews quotes in response to inventory.
• The example relies on short-horizon mean reversion and maker rebates rather than a directional alpha forecast.
• Backtests across exchanges show that identical parameters can behave differently under different order flows.
• The Binance example assumes a high maker rebate, and modeled fees and execution conditions influence results.
• Pair-specific parameter optimization may overfit, while volatility regimes can change performance over time.

Tags

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