Reworking a High-Frequency Strategy for a Zero-Fee Perpetual DEX
Summary
The article describes adapting an older high-frequency futures strategy for Lighter, a decentralized exchange that the author says offered zero trading fees to ordinary users at the time. It explains account setup at a high level, including signing-key and account-index configuration, then discusses why lower fees may change the economics of grid, arbitrage and other frequent-trading approaches. The showcased strategy is presented as a market-making style system with position correction, order-book-based pricing, position limits, emergency reductions, stop-loss handling, logging and performance statistics.
The author used an AI assistant to modernize the code, preserve its core logic, add risk controls and improve reporting, iterating on the result before running it live. The reported live experience included substantial trading volume, but the strategy did not appear profitable at that point. No controlled backtest or detailed performance series is provided, and the article explicitly treats the work as an experiment rather than proof of an edge. Zero fees may change costs but do not remove liquidity, smart-contract, network, platform, model or code risks; fees can also change.
Key ideas
- A zero-fee venue can change the cost assumptions behind strategies that trade frequently.
- The example rebuild adds position limits, gradual sizing, emergency reductions and stop-loss controls to an older strategy.
- AI was used iteratively to update exchange interfaces, risk handling, logs and displayed statistics.
- The author reports high trading activity but no apparent profitability in the initial live run.
- The experiment does not establish a durable edge, and exchange, code and execution risks remain.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.