Order Book and Trade Flow Signals for Perpetual Futures Market Making

Summary

This document describes a market-making system for Binance USDC perpetual futures. Its numerical core analyzes recent trade flow and price profiles alongside estimated buy- and sell-side market impact. The signal combines directional flow, shifts in volume and delta points of control, and relative impact efficiency; it is withheld until sample and data-quality requirements are met. Quote checks aim to preserve room after fees, avoid crossing the spread, and cap quote distance. The implementation also addresses minimum order quantities, account balances, inventory, persistent reconciliation, and status reporting.

The published description says the default mode is shadow operation and that undersized nominal budgets may be raised to meet the minimum valid order size, so configured amounts are not absolute caps. It reports offline validation, but explicitly says live fills and profitability remain unverified. The included source is incomplete, and the version noted in the descriptive text differs from the version named in the code comments. As a result, the document explains design and safeguards but does not establish realized performance or provide enough intact source to assess the full system.

Key ideas

• The signal combines trade flow, price-profile structure, and estimated market impact efficiency.
• Signal generation requires adequate samples and valid fast- and slow-window impact estimates.
• Quote validation considers fees, passive execution, spread crossing, and distance from the market.
• Order sizing accounts for minimum valid quantities, available funds, and inventory constraints.
• Offline checks are reported, while live fills and profitability remain unverified.

Tags

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