Order-Book Burst Signals for Contrarian Perpetual Futures Trading

Summary

This perpetual futures strategy watches a weighted price estimate derived from several levels of the order book and compares recent values to detect sharp upward or downward moves. A threshold scaled to the latest estimate defines a burst. On an upward burst, it buys; on a downward burst, it sells. When a position is already open in the opposite direction, it attempts to close that position using a deeper order-book level, while same-direction signals add the configured order amount.

The implementation also tracks recent trade volume with exponential smoothing, refreshes account information, and cancels outstanding orders after a brief wait. The document provides source code and parameters, but no backtest results or performance evidence. It leaves key practical questions unanswered, including exchange-specific behavior, fees, slippage, position limits, and how the burst threshold and order levels should be calibrated; the strategy can therefore not be assumed profitable or robust.

Key ideas

• A weighted estimate from several bid and ask levels is used to track recent price movement.
• Sharp moves beyond a threshold scaled to that estimate trigger buy or sell orders.
• Signals against an existing position use a different order-book level to attempt a close.
• The implementation smooths observed trade volume and cancels open orders after a short delay.
• No performance results or calibration guidance are supplied.

Tags

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