Trading 24-Hour Path Roll-Off Shocks with Patient Maker Orders
Summary
This prototype scans Binance TradFi perpetual contracts for price shocks associated with the minute-by-minute roll-off of the prior day's price path. It calculates five-minute and thirty-minute shock measures, selects candidate contracts, and submits a single GTX maker entry order that can remain open for up to 90 seconds. The design avoids repeatedly canceling and repricing an unfilled entry. It supports shadow, paper, and live modes, with configurable shock thresholds and order-notional limits.
The source also describes market-data and order-book WebSocket handling, contract metadata and precision checks, persistent execution state, and reconciliation for uncertain order submissions. It defines stop and take-profit ratios, entry spread and distance limits, exit timeouts, and a maximum holding period. These details make the document useful for studying execution and operational controls, but the provided excerpt is truncated and contains no backtest setup, performance evidence, or explanation of the shock signal's statistical basis. Its thresholds and safeguards are implementation choices rather than demonstrated proof of profitability.
Key ideas
- The signal measures five-minute and thirty-minute price shocks as the previous day's minute path rolls off.
- The system scans TradFi perpetual contracts and ranks a limited set of candidates.
- Entry uses one GTX maker order, with a 90-second waiting limit and no chasing or repricing.
- Shadow, paper, and live modes support staged operation, while persistent state and reconciliation address uncertain orders.
- The excerpt gives execution parameters but no backtest evidence or validation of the signal's predictive value.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.