quant
@Quantaraum
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Market Making as a catalyst for quant-powered trading triumphs
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This is such a great read that I have to quote a part of the book:
Basically, if you understand a system well and deeply, you don’t have to play by the same rules as everyone else.
You can look for flaws and omissions in the rules.
You notice where the constraints the system
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1K
Many ask about quant trading/HFT resources. Here are 2 starter books:
Professional Automated Trading &
Market Microstructure in Practice Second Edition.
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MAKE THE MARKET - EPISODE 10:
THE HEAVY TAIL OF THE BEAST
It's already time for the tenth episode of our journey into the nuances of market making.
Today, we explore the intriguing phenomenon of the heavy-tailed distribution of the relative limit order price.
Understanding the
MAKE THE MARKET - EPISODE 9:
THE DYNAMICS OF A MARKET MICROSTRUCTURE
Today, we're moving away from abstract curves and diving into the exciting concepts of Momentary Market Monopolization and Quote Stuffing.
Momentary Market Monopolization: A Brief Reign
Imagine you are
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MAKE THE MARKET - EPISODE 7:
ICEBERG AHEAD - STRATEGIC PULLING OF BID/ASK
Today we are venturing into the icy waters of market making, exploring the concepts of iceberg orders and the strategic pulling of bids and asks.
Iceberg Orders: What Lies Beneath?
Iceberg orders
MAKE THE MARKET -EPISODE 6
You are operating an apple stand in a busy marketplace, where your business model centers on buying and selling apples for cash.
Inventory Management: Your inventory consists of both apples and cash.
In proactive market making, you continually adjust
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MAKE THE MARKET - EPISODE 13:
INVENTORY CONTROL AND THE BALANCING ACT
Welcome back friends, today's topic is a fundamental challenge for even the most experienced market makers - managing Inventory Control amidst the unpredictable world of market uncertainty.
Inventory Control
MAKE THE MARKET - EPISODE 12:
TRIPLE INTERPLAY
In today's episode, we're looking at the dynamic trio that drives the market - Volume, Open Interest, and Imbalances
We'll explore their intricate connection and interactions under various market regimes and conditions.
Volume:
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MAKE THE MARKET - EPISODE 11:
EXPLOITING INEFFICIENCIES
In this special episode of our series, we delve into the world of exploiting inefficiencies in cryptocurrency market making.
Unraveling Inefficiencies: What Are They?
Market inefficiencies arise when there's a mismatch
MAKE THE MARKET - EPISODE 10:
THE HEAVY TAIL OF THE BEAST
It's already time for the tenth episode of our journey into the nuances of market making.
Today, we explore the intriguing phenomenon of the heavy-tailed distribution of the relative limit order price.
Understanding the
4
57
258
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MAKE THE MARKET - EPISODE 8:
SHAPING THE MARKET - CONVEXITY AND CONCAVITY IN MARKET MAKING
Today, we're shifting from iceberg orders to the landscape of curves.
We'll be exploring the role of convexity and concavity in market making.
Convexity: Bending Profit Potential
MAKE THE MARKET - EPISODE 7:
ICEBERG AHEAD - STRATEGIC PULLING OF BID/ASK
Today we are venturing into the icy waters of market making, exploring the concepts of iceberg orders and the strategic pulling of bids and asks.
Iceberg Orders: What Lies Beneath?
Iceberg orders
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44
261
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MAKE THE MARKET - EPISODE 9:
THE DYNAMICS OF A MARKET MICROSTRUCTURE
Today, we're moving away from abstract curves and diving into the exciting concepts of Momentary Market Monopolization and Quote Stuffing.
Momentary Market Monopolization: A Brief Reign
Imagine you are
MAKE THE MARKET - EPISODE 8:
SHAPING THE MARKET - CONVEXITY AND CONCAVITY IN MARKET MAKING
Today, we're shifting from iceberg orders to the landscape of curves.
We'll be exploring the role of convexity and concavity in market making.
Convexity: Bending Profit Potential
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PokerGPT: An End-to-End Lightweight Solver for Multi-Player Texas Hold’em via Large Language Model
- 4 Jan 2024
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MAKE THE MARKET - EPISODE 12:
TRIPLE INTERPLAY
In today's episode, we're looking at the dynamic trio that drives the market - Volume, Open Interest, and Imbalances
We'll explore their intricate connection and interactions under various market regimes and conditions.
Volume:
MAKE THE MARKET - EPISODE 11:
EXPLOITING INEFFICIENCIES
In this special episode of our series, we delve into the world of exploiting inefficiencies in cryptocurrency market making.
Unraveling Inefficiencies: What Are They?
Market inefficiencies arise when there's a mismatch
8
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208
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MAKE THE MARKET- EPISODE 1
Flash Loans For Fun and Profit
What if it were possible to offer credit without bearing the risk that the borrower does not pay back the debt?
Such a concept appears impractical in the traditional financial world.
No matter how small the borrowed
On June 1 I am starting the Make the Market series;
Posting one educational post everyday for the entire month of june.
Flashloans, coding algorithms, Alpha generation etc.
Excited :)
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@carolinecapital
deleted her tumblr, so i am restoring her posts i saved before she deleted them:
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MAKE THE MARKET - EPISODE 14:
CROSSING THE CEX-DEX DIVIDE IN HIGH VOLATILITY
Today we delve into the heart of high volatility regimes and traverse the exciting, yet treacherous, terrain of cross CEX and DEX arbitrage - the good, the bad, and the ugly.
Understanding Cross
MAKE THE MARKET - EPISODE 13:
INVENTORY CONTROL AND THE BALANCING ACT
Welcome back friends, today's topic is a fundamental challenge for even the most experienced market makers - managing Inventory Control amidst the unpredictable world of market uncertainty.
Inventory Control
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alameda still got 417k $stETH from the Celsius Bankruptcy:
0x41318419CFa25396b47A94896FfA2C77c6434040
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Let's play a game of hide and seek
But the person hiding, let's call them Spoofy, started giving false clues to trick the seekers.
Spoofing is when Spoofy tells you they're hiding behind the oak tree.
You run there, but they're not.
Spoofy was hiding behind the elm tree all
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I call this alameda's
@Tether_to
printer address.
0xc333e80ef2dec2805f239e3f1e810612d294f771
@AlamedaResearch
OTC Desk, Binance adresses, MultiSigWallet, OKex all linked to this address.
Main Outflow:
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ship => iterate => repeat
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August 15 Celsius crashed.
August 15
@SBF_FTX
owned address peaks at 829 million USD.
Coincidence? i don't think so.
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On June 1 I am starting the Make the Market series;
Posting one educational post everyday for the entire month of june.
Flashloans, coding algorithms, Alpha generation etc.
Excited :)
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In terms of the game theory, we might say the universe is so constituted as to maximize play. The best games are not those in which all goes smoothly and steadily toward a certain conclusion, but those in which the outcome is always in doubt.
Similarly, the geometry of life is
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Just wait until FTX starts offloading 600m worth of $stETH.
Bulls are already trapped.
I am closely watching
@SBF_FTX
(alameda and ftx).
The real money is made if you start to think like the house does.
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In the arena (live performance):
I’m in the arena trying stuff. Some will work, some won’t. But always learning.
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if you haven't read chaos kings by
@pattersonscott
you're missing out!
One of the best books i've read.
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MAKE THE MARKET -EPISODE 6
You are operating an apple stand in a busy marketplace, where your business model centers on buying and selling apples for cash.
Inventory Management: Your inventory consists of both apples and cash.
In proactive market making, you continually adjust
MAKE THE MARKET - EPISODE 5
Liquidation cascades
Today we will dig deeper into some advanced trading strategies, specifically focusing on limit versus market orders, maker versus taker strategies, and how they correlate to open interest and liquidation cascades.
Open Interest
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For all the technical analysis i see on twitter:
CEO of
@AlamedaResearch
,
Caroline Ellison comments on TA.
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if people would understand how liquidity works, they would not see price as price
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MAKE THE MARKET - EPISODE 3: Sandwich Thief
In episode 2, we dived deep into the constant product formula, illustrating how Uniswap's AMM model enables trades while maintaining a balanced liquidity pool
main act of today's episode – Sandwich Attacks!
MAKE THE MARKET - EPISODE 2
Today we will explore the mathematical formulas underpinning Uniswap version V2!
What role do these formulas play in illuminating phenomena like arbitrage, sandwich attacks, and flash loans?
With Uniswap increasingly defining the course of DeFi
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Short Squeeze in DeFi Lending Markets:
ETH Zurich wrote a paper on how our CT friend
@avi_eisen
manipulated the price of CRV on both CEX & DEX.
[]
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MAKE THE MARKET - EPISODE 5
Liquidation cascades
Today we will dig deeper into some advanced trading strategies, specifically focusing on limit versus market orders, maker versus taker strategies, and how they correlate to open interest and liquidation cascades.
Open Interest
MAKE THE MARKET - EPISODE 4
Exploring DeFi with Sophisticated Tools
Have you ever tried to make sense of a complex transaction?
In order to understand the nuanced movements we discussed in Episode 1 & 3, we need keen insight and powerful tools.
In this episode, we dive deep
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Quick thread about
@Mashinsky
sending pocket money to his wife
@KrissyMashinsky
. thorugh
@CelsiusNetwork
. She runs her own company, (
@usastrongIO
). Apparently making jokes about celius brankruptcy. So let's get into this.
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In programming, the hard part isn't solving problems, but deciding what problems to solve.
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I’m in the arena trying stuff. Some will work, some won’t. But always learning.
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“Because of the quirks of our human eagerness for the immediate reward, we are forewarned that what seems easy and straightforward is deceptively so; the roundabout is in practice a counterintuitive path—of acquiring later stage advantage through an earlier stage
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MAKE THE MARKET - EPISODE 4
Exploring DeFi with Sophisticated Tools
Have you ever tried to make sense of a complex transaction?
In order to understand the nuanced movements we discussed in Episode 1 & 3, we need keen insight and powerful tools.
In this episode, we dive deep
MAKE THE MARKET - EPISODE 3: Sandwich Thief
In episode 2, we dived deep into the constant product formula, illustrating how Uniswap's AMM model enables trades while maintaining a balanced liquidity pool
main act of today's episode – Sandwich Attacks!
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if you don't take enough risk, it costs you wealth over time
if you take too much risk, it costs you wealth over time
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Sharing past three month PnL performance of my algorithm :
personal insights:
1. backtesting is for losers
2. Big players and dealers rule the crypto markets.
3. your size is not size
figuring out:
1. Adverse selection risk
2. Non-execution Risk
3. Regime change of thin and
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Order but Not Execute in Order
Pretty Neat Paper addressing the general order manipulation issue in decentralized exchanges:
[]
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MAKE THE MARKET - EPISODE 2
Today we will explore the mathematical formulas underpinning Uniswap version V2!
What role do these formulas play in illuminating phenomena like arbitrage, sandwich attacks, and flash loans?
With Uniswap increasingly defining the course of DeFi
MAKE THE MARKET- EPISODE 1
Flash Loans For Fun and Profit
What if it were possible to offer credit without bearing the risk that the borrower does not pay back the debt?
Such a concept appears impractical in the traditional financial world.
No matter how small the borrowed
6
22
93
4
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31
@KrissyMashinsky
received around 80k directly from
@CelsiusNetwork
without ever depositing into celsius.
You can see the contract of
@usastrongIO
on the upper right.
Address linked to her and intermediary address, aaf.eth transferred over 30k ETH in it's lifetime.
10k recently.
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If you cannot explain something in simple terms, you don't understand it.
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You are a fruit seller in a bustling farmer's market
Most days, you sell a predictable amount of fruit
You're familiar with the regular ebbs and flows of business
Now, let's introduce a 'fat tail' event:
Imagine a bus full of hungry tourists unexpectedly pulls up one day
They
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So who is behind
@stakedTokens
?
What if i tell you that
@SBF_FTX
is behind
@stakedTokens
.
The deployer of the StakerHound Contract is
@AlamedaResearch
, the same address claiming that they have misplaced the keys.
why is the same address who lost 38800 ETH linked to the deployer?
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The addresses i am monitoring are collectively representing 10%+ of the entire crypto market cap.
Talk about decentralization.
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Thread of the most important wallets and addresses linked to
@CelsiusNetwork
,
@SBF_FTX
and
@AlamedaResearch
:
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you learn so much by doing. we often forget that through trial and error we learned how to walk, yet we are shy of making mistakes in the real world. of course minimize the pain or the negative impact, but you have to fail in order to learn what's right and wrong.
optimize for
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You got to know the agenda of entities like
@AlamedaResearch
, Jump crypto,
@SBF_FTX
,
@Tether_to
,
@bitfinex
.
Else you're screwed.
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Doing a live series, trading from 20k to 100k. All with full transparency and updates.
Who is interested in tracking down smart money?
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Time Moves Faster When There is Nothing You Anticipate:
The Role of Time in MEV Rewards
[]
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@carolinecapital
@AlamedaTrabucco
yea hide behind a wall of effective altruism.
You will get what you deserve
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knowledge expands fractally;
from a distance it's edges looks smooth but once you learn enough to get close
to one they turn out to be full of gaps
[
@paulg
]
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@_pgauthier
What was on your mind to release that?
Destroying the single most important thing that ledger was?
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@FormulaDeltaOne
love the hate, but there are people out there who know nothing about market makers, they don't want to hear about stochastic processes, convex optimization or linear regressions..
actually had alot of people appreciate this basic fundamental posts.
But obviously nothing for you
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this aged well. today was a perfect example:
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Watch out for alameda research
Their OTC Desk received 10m $usdt from 0xad6eaa735d9df3d7696fd03984379dae02ed8862 -> 0x72914CaC43a593b698bf46E2Ecb0E84F684759a0 ->
@alamedaresearch
OTC Desk.
Oxad6... is one to watch.
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@CREAMtrader
really a good book, especially due to the mindset he describes. There are alot of loopholes and bugs in today's systems
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While bitcoin is dropping and everyone is in absolute desperate fear, i'm on the long-term side of
@stackhodler
.
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This is a complete thread about the centralized empire building a wall around cryptocurrency.
The same people claiming to help the industry and the community, are the ones forcing a centralized and fragile state to our promising field.
Who and What am I talking about?
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Friends,
@VeloData
Beta is live now!
- Clean UI/UX
- Top-notch visualization of options data
- Futures data supported by multiple exchanges
- Advanced Charts & aggregated market data
[]
No need to check multiple lists for top performers anymore.
We added dynamic filters and a spaghetti chart to the Market page - in one click and in one place, you can see price, open interest, and funding for the best and worst performing coins today, this week, this month, etc
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my bank froze my account just to provoke a reply to a mail i missed. That's the problem of centralization
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“You don't win races with just your legs. Victory or defeat happens in your head first. This is a mental competition. So I want you to start thinking like a winner.” ~ Thomas Hill
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we crunched some macro data today in order to understand how bad is the state of th US economy really. What's the data suggesting? I let yoou decide.
1️⃣ Effective Federal Funds Rate:
⬆️ The Fed's interest rate policy impacts inflation and economic
stability. The rate has
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