Order Book Market Making Around Predictable Iceberg Selling

Summary

The article describes a short-term spot market-making idea prompted by repeated, large market sells in STORJ. The author interprets the regular sell flow and temporary price dips followed by recovery as signs of an iceberg execution strategy. The proposed bot estimates cumulative depth on each side, places a buy near the depth likely to absorb a sell, and posts a sell after acquiring inventory. It adjusts or cancels orders as target prices change and tracks account value.

The account reports that the activity was frequent and that the strategy initially earned hourly returns, but says the seller later reduced order size and the best opportunity faded. These are the author’s observations, not a controlled backtest or independently verified results. The approach depends on persistent predictable flow, quick price recovery, and low fees; the article explicitly notes that ordinary fee levels can erase the small per-trade spread. It offers no robust treatment of adverse selection, changing market conditions, or losses if inventory cannot be resold promptly.

Key ideas

• The strategy infers repeated iceberg selling from regular large market orders and temporary price dips.
• It uses visible order book depth to choose buy prices and then posts sells after fills.
• Order cancellation and repricing are used to keep quotes aligned with changing depth.
• The author’s reported opportunity weakened after the seller reduced order size.
• Low fees and continued price recovery are essential assumptions, and profits are not guaranteed.

Tags

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