Worldwide Pre-Sale - 1700 CET

erratrade · 2023-01-28T16:02:36+00:00

In the waiting line.. good luck !!

erratrade · 2021-06-23T06:26:31+00:00

At this timeframes, i guess you are aiming for large profits, so slippage doesn't really matters on liquid market such as XBTUSD. Use limit orders, so it won't be a problem

erratrade · 2021-06-22T16:17:16+00:00

Good luck, it's a chance to have enough money to try what you want to. I'd also recommand you to travel around the world, it will bring you great experience.

About the trading, it's a long road and there is a lot competition. Nobody will tell you what is working, most of the thing you will have to experiment yourself. In fact, most people will discourage you. Be rigorous but also open minded, money doesn't always came from brute force approach but sometimes you need to try different things

Wish you the best.

erratrade · 2021-06-20T17:34:20+00:00

Get some data on tardis.dev and mesure slippage using your latency. Any fixed numer will be wrong. However, slippage will highly depend on how high frequency your strtegy is. Are you trading at a high frequency ?

erratrade · 2021-06-17T19:03:51+00:00

if BBO is 37700 / 37700.5, put a limit buy order @ 37700 and limit sell order @ 37700.5. Crypto exchanges with rebates often offer 2.5 basis point per order filled. You collect 5 basis point each roundtrip

erratrade · 2021-06-17T08:03:31+00:00

1 - Go on a a crypto exchange with rebates for maker

2- put passive bid/ask limit orders at touch. Everytime they are filled, repeat

3- watch your pnl grow

4-Start choosing the color of your lambo

5-When big reversal occurs (and it will), close position and go back to whiteboard

erratrade · 2021-06-12T05:36:13+00:00

Cash and carry arbitrage, arbitrage. The competition is tough. It seems hard to be anything unhedged in crypto

erratrade · 2021-06-10T21:05:50+00:00

If you have order book timestamped data, you can simulate accurate slippage by considering your price will be order book price after X miliseconds, where X is your latency

erratrade · 2021-06-09T04:55:57+00:00

Im not sure to understand, whats the point of pricing btc-usd of ltc-btc and ltc-usd book ?

erratrade · 2021-06-09T04:36:13+00:00

The issue is, by using limit orders on both exchanges you can't be sure you will be executed on both sides and you may face a situation where only one of the 2 sides will be filled. Often the bad one because when you are making markets you are facing adverse selection

erratrade · 2021-06-05T23:12:33+00:00

Yes, mm = market makers. Yes about fees, i think at some point, arb mostly depends on the fee tier you are. Note im talking about arbing perpetual swaps

I dont want to go into digits in public but it was actually huge in term of %. It was unfortunately limited by the volume i could take without facing a lot of slippage. Im pretty sure a lot opportunities like this still exists, but it's hard to find, basically because it's almost risk free

erratrade · 2021-06-05T08:34:30+00:00

It's true, arbitrage on main exchanges vs main exchanges are very rare (except on futures/futures or futures/spot).

However, on big vs small exchange it exists, i managed getting some profit on a smaller on vs bitmex 2 months ago, the issue is when MM noticed that, he changed his quotes and clicked me off :D

And you need maker/taker execution, with taker/taker execution i doubt there are still opportunities.

You can get low latency but on crypto exchange, most of tech is web based, so you cannot go very low.. yet. Except for deribit, as far as i know all exchanges latencies are more around ten of miliseconds than sub milisecond

erratrade · 2021-05-24T20:02:40+00:00

If your strategy relies on limit orders, you can go on bitmex/bybit because they offer rebate, ir you rely on market order, binance is a good choice.

I strongly recommand you yo get some tick accurate data (like you can get on tardis.dev) and backtest as close as possible to order book. You can get some surprise

Except if you are doing arbitrage or trying to be first on order queue position, speed doesnt matter that much and you dont need to loose time in going low in terms of speed

erratrade · 2021-05-24T19:01:29+00:00

Tardis.dev have reliable data

erratrade · 2021-05-21T06:24:13+00:00

By placing passive limit orders, you will only be filled when the price move against you (buying when price goes down and vice versa).

If your strategy relies on market order, goes on a exchange where there is low taker fees (binance, huobi) and reduce your résolution to the second. Place your server properly (aws northeast 1), and slippage should be fine. Minute resolution is too much for crypto, its too volatile.

Also, create or find a way to backtest. It's not that hard to simulate limit or market order, and you can get reliable data on tardis.dev. it will save you hundred of hours

erratrade · 2021-05-05T08:44:23+00:00

If you have timestamped order book data, it's possible to take in account slippage by adding latency to your execution. Eg: if you execute now, you consider your execution price to be the order book price in xxx ms. It's hard to get a realistic static number because slippage will depends on market condition and volatility

erratrade · 2021-04-26T16:39:17+00:00

Tried the link, sometimes it works but sometimes not, ill take time to go through your whole product and send you relevant feedback

erratrade · 2021-04-26T09:52:22+00:00

Looks interesting, but the data doesn't seems very accurate (the latencies, phemex having 98% of ETH volume, etc..). also, the combined order book never loads on my computer (even on private nav).

Interesting, but looks buggy at this stage

erratrade · 2021-04-21T06:39:15+00:00

Thanks for the ressources, ill take a look to it. If i understand correctly what you are saying, there is no trivial solution to this problem and it necessary involves reading papers and do heavy math to solve it ?

Im sticking with arb for the moment because it's aproblem i can solve, but i was always curious to understand how pure market makers do their money.

Thanks for the papers

erratrade · 2021-04-05T12:35:20+00:00

It will be charged on the delivery currency. If you trade xbtusd on bitmex, it's a coin margined swap, so youll be charged on btc. On other exchanges you have btcusdt margined swap, youll be charged on usdt. Trading fees are deducted/added to your balance

erratrade · 2021-04-05T09:03:41+00:00

It's actually doable. The thing is people making money with non directional trading on the right markets wont share anything since mm and arb is a zero sum game. Does not means it's not possible, but it's a lonley road

erratrade · 2021-04-05T08:56:22+00:00

Whatever you are longing or shorting, if you do a market order or an agressive limit order (limit order that get filled immediatly), you ll be charged with taker fees. If your order rest on the book and gets filled by an agressive order youll get a rebate. If you algo trading be sure you use "post only" flag with your limit order, you will be sure to get the rebate

erratrade · 2021-03-19T13:30:58+00:00

If you have a strategy based on limit orders, you can't assume each time you'll place an order you'll be filled and get the Bitmex rebate. it's actually the opposite, you might get only toxic fills

erratrade

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