Multi-Asset Crypto Burst Trading with Inventory Rebalancing

Summary

This multi-asset market-making style bot monitors recent trades and order-book depth for abrupt price moves. It smooths observed trade volume, forms weighted reference prices from several book levels, and signals a burst when the latest reference price moves beyond a threshold relative to recent values. It buys or sells according to the burst direction, scales trade size with volume and early-cycle adjustments, and repeatedly submits and cancels orders while managing fills.

A separate inventory rule estimates the asset share of account value and buys or sells when that share moves outside a target band. The example runs on BTC-USDT and ETH-USDT on Binance, with shared parameters, and includes a one-day one-minute backtest configuration. No backtest outcomes are reported. The code and notes expose practical limitations: the common settings may not suit each asset, execution depends on order-book conditions and fill handling, and the method uses fixed thresholds and inventory adjustments without reported risk-adjusted performance.

Key ideas

• The bot detects short-term price bursts by comparing a weighted order-book reference price with recent prices.
• Burst trade size is scaled using smoothed trade volume and reduced during initial polling cycles.
• An inventory share band triggers additional purchases or sales to rebalance holdings.
• The implementation submits, monitors, and cancels orders, making execution behavior central to results.
• The published configuration covers two crypto pairs but gives no evidence of backtest performance.

Tags

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