How a Crypto Burst Strategy Uses Trade Flow and Order Book Signals
Summary
This analysis examines the first part of an OKCoin strategy ported to FMZ. It explains how the bot builds a short rolling price series from weighted prices across the first three order-book levels, and estimates recent trade volume with an exponentially weighted update that filters out previously seen trades by ID or timestamp. Bid and ask order prices are also calculated from weighted best quotes, with small offsets toward the spread center.
The article presents these calculations as groundwork for a burst-triggered trading approach and explains the strategy object and polling loop. The included code further shows how later logic compares recent prices with local highs or lows, scales trade size by observed volume, and attempts orders with cancellation and repricing. The discussion is primarily a code walkthrough; it offers no performance results or evidence that the chosen weights, thresholds, or execution behavior are profitable. Exchange data availability and market conditions may affect the signals.
Key ideas
- The strategy forms a rolling reference price from weighted midpoints across the first three order-book levels.
- Recent trade volume is smoothed by combining new eligible volume with the previous estimate.
- Trade IDs, or timestamps when IDs are unavailable, help prevent repeatedly counting old trades.
- Weighted best bid and ask quotes set proposed order prices near the center of the spread.
- The article explains the signal plumbing but does not establish that its parameters produce a trading edge.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.