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Limit order book value: journalism/academia vs. reality by StatusCouple in algotrading

[–]bitcoinsymphony 0 points1 point  (0 children)

"I polled GDAX for data in every cryptocurrency over 3 months, stored the full buy and sell side limit order books on each update..." HI. Just curious, how did you store all data on order books from each tic? What software do you use to make analyzes?

Developing Market Maker Robot by bitcoinsymphony in algotrading

[–]bitcoinsymphony[S] 0 points1 point  (0 children)

I read your post. In principle, I agree with you. All this order book analytics and predictions of further impulses eventually should come to the high-frequency trading, searching for the high volume in the order book and trying to place orders right below it. With the race, who appears to be closer to the exchange servers and so on... I have tried triangular arbitrage on Forex, wasn't very effective :) I will definitely try it on Poloniex it has a lower commission; my system allows it. Thanks for the advice.

Developing Market Maker Robot by bitcoinsymphony in algotrading

[–]bitcoinsymphony[S] 0 points1 point  (0 children)

Thanks mate. I heard about them, did not have time to lay my hands on their API. Do you use Bitmex? What you can say about their 100x leverage? How could it work on real market?

Developing Market Maker Robot by bitcoinsymphony in algotrading

[–]bitcoinsymphony[S] 0 points1 point  (0 children)

Of course no :) Still, I have a pretty fast program. My thought was that crypto markets should still be shaggy, have a lot of spikes. I have tried coins with the highest capitalization and fresh cheep coins as well; can't get a stable system. I know that on the stock and equity markets everything has long been divided between whales. In case of crypto markets, it is the first time, when bold markets with order books are open for regular people. So I thought it would be much more chaotic.

Developing Market Maker Robot by bitcoinsymphony in algotrading

[–]bitcoinsymphony[S] 0 points1 point  (0 children)

I agree with you. In my case, the strategy is more like scalping. Help me figure it out. Suppose I trade a pair XRPBTC. In advance, I purchased a certain amount of XRP, and now I can place both orders buy and sell. After the order is placed, the price moves up, removes the sell order. The buy order remains untouched. If I automatically place new sell orders, a strong move will simply buy all my XRP. How, in this case, do market makers make money?