High-Frequency Quote-Capture Market Making with Symmetric Grid Orders

Summary

This strategy places buy and sell limit orders at regular price increments around the midpoint of the best bid and ask. It aims to earn the spread by keeping a ladder of orders on both sides, adjusting the ladder as prices and account balances change. Order size, grid spacing, maximum grid depth, polling interval, retry delay, and a minimum asset balance are configurable.

The document provides implementation logic and a simulation caveat: its ticker data uses a fixed bid-ask spread of 1.6, so the described behavior needs live-market evaluation. It reports no performance results. Frequent order updates, available cash and inventory constrain how many orders can be placed; the source also estimates profit using the bid price. Fees, queue priority, adverse selection, and live execution effects are not evaluated in the description.

Key ideas

• The strategy centers a ladder of limit orders on the midpoint between the best bid and ask.
• Buy and sell orders are spaced at configurable increments from that midpoint.
• Order depth depends on available balance, asset inventory, and a maximum grid setting.
• The simulation uses a fixed spread, so its behavior may not represent live execution.
• The document gives no performance results and does not assess fees or adverse selection.

Tags

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