Port of 小草's 2014 'simple Bitcoin high-frequency bot' (FMZ strategy 1088). The strategy is by that author. Classification: (a) a concrete, tradeable strategy.
Original rules, in our words: every 3.5 seconds the bot reads 20 levels of order-book depth. Its buy price is one tick above the bid level where cumulative bid size first passes 8 coins. Its sell price is one tick below the ask level where cumulative ask size first passes 8 coins. If the sell price minus the buy price is 1.5 price units or less, it moves both quotes 10 units further out. It then cancels every resting order and posts two limit orders: a sell of all coins held and a buy using all cash minus a small buffer, each only if it is larger than 0.02 coins. There is no stop-loss and no cost-basis logic.
Port decisions:
(1) Data. The catalog has no historical L2 depth: the order_book_delta and quote_tick folders hold only one or two snapshots from 2026-04/05. On a modern liquid perp, 8 coins of size sit at or next to the touch, so the original code's own 1.5-unit branch fires on essentially every tick. The quotes therefore become touch -10 and touch +10 units. At the ~10,000 BTC price in the author's example, 10 units = 10bp and 1.5 units = 1.5bp. We keep those defaults as relative values, using the last 1-minute close as the touch.
(2) Cadence. 3.5 seconds becomes one update per 1-minute bar close. This is a representation compromise.
(3) Venue. Binance spot charges 0.10% maker, which is more than the whole 20bp quote width, so spot cannot work. We use Binance USD-M (0.02% maker, 0.04% round trip), long-only at 1x, to keep the original cash/coin inventory behaviour. Hyperliquid's 1m history is only about 3 days, too short to validate on.
(4) Instrument. SOL instead of BTC, because BTC is the most over-used series in the corpus.
(5) Sizing. Full position, as in the original.
Flat state: all cash with a resting bid, expected about 45-60% of the time.
Honest prior: this is sub-hour passive mean reversion on a liquid major, which is the fee-graveyard class.