HUSD Stablecoin Spread Trading with Order-Book Requotes

Summary

This script describes a market making approach to trading a stablecoin pair around its expected peg. It places a buy order at the best bid when price and recent order-book variability meet configured limits, then submits a sell order after the buy fills. The sell price is set to target a small margin while accounting for the configured fee rate. It tracks pending orders and cancels a buy if the best bid changes, volatility rises above its limit, or displayed bid size suggests the order is its own.

The document gives implementation mechanics but no backtest or evidence that the peg will reliably revert or that the spread exceeds total costs. Its premise depends on stablecoin parity and fee conditions, while execution can leave inventory exposed if a purchase fills and the intended sale does not. Liquidity, partial fills, price movement, and exchange or peg disruptions are material risks not quantified in the description.

Key ideas

• The strategy seeks small profits by buying near the best bid and selling after a fill.
• Order-book changes and recent price variability can trigger cancellation of pending buy orders.
• The sell price incorporates configured fees and a target profit margin.
• The approach relies on stablecoin parity and does not provide evidence of profitability.

Tags

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