Order-Book Market Making with Adaptive Quote Depth

Summary

This market-making program places multiple buy and sell limit orders at distances derived from visible order-book depth. It tracks a set of order sizes, offsets, reset thresholds, and polling intervals. When the desired quote changes enough, it cancels and replaces the resting order. If the available depth does not meet the requested amount, fallback prices are used; small random adjustments are added to calculated prices.

The program also scales order sizes using an account valuation estimate, allocates available balances and inventory across orders, and periodically records account value alongside the BTC price. Its parameters expose a way to increase quote depth when the buy-sell spread is too narrow for a target offset. The document supplies implementation code and configurable values, but no backtest, execution analysis, or profitability evidence. Performance would depend on exchange behavior, fees, queue priority, adverse selection, inventory exposure, and reliable order-state handling; the code itself does not establish that its quotes earn a net spread.

Key ideas

• The program places layered limit orders using order-book depth and configurable quote offsets.
• It cancels and replaces orders when calculated prices move beyond set reset thresholds.
• Order amounts are scaled against account value, then constrained by available cash or inventory.
• The document gives code and parameters but no evidence of trading performance.
• Fees, queue priority, adverse selection, and inventory risk can affect realized market-making results.

Tags

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