LeeksReaper: Inventory Rebalancing and Price Burst Trading

Summary

This installment explains two parts of a high-frequency spot strategy: periodic inventory balancing and the main price burst logic. It estimates account net value by marking held and frozen assets to the best bid, logs changes, and tracks the asset share held in the base currency. When that share leaves a buffer around an even allocation, it places several small orders to restore balance, then cancels outstanding orders after a delay.

The main loop builds a recent weighted price series and detects upward or downward moves relative to recent highs or lows. A detected burst sets the direction and trade size from available quote or base currency, then manages orders through fills, cancellations, repricing, and size reductions. The article explains these code paths but supplies no performance study or execution statistics; exchange fees, slippage, and the suitability of the thresholds are not assessed.

Key ideas

• The strategy estimates account value by marking inventory and frozen balances to the current best bid.
• It rebalances when the base currency share moves outside a buffer around an even allocation.
• The main loop identifies short-term price bursts using recent highs and lows.
• Order handling adjusts size and price after fills or cancellations.
• The article describes implementation logic without evidence of profitability or realistic execution costs.

Tags

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