Mike van Rossum
@mikevanrossum
Followers
7,262
Following
858
Media
449
Statuses
5,021
Explore trending content on Musk Viewer
Haitian
• 601618 Tweets
Springfield
• 434078 Tweets
LINGORM NEW SERIES
• 298184 Tweets
Hill
• 289146 Tweets
Tyreek
• 265283 Tweets
Yunes
• 176341 Tweets
PS5 Pro
• 159268 Tweets
PlayStation
• 134726 Tweets
Sony
• 121538 Tweets
كادش
• 71217 Tweets
ZEEPRUK IN NY
• 65588 Tweets
Labour MP
• 51763 Tweets
#الكويت_العراق
• 49738 Tweets
バーレーン
• 48244 Tweets
chappell
• 45506 Tweets
Maiduguri
• 41937 Tweets
Prevención del Suicidio
• 34296 Tweets
最終予選
• 29365 Tweets
Día Mundial
• 28074 Tweets
Campeche
• 23756 Tweets
Daniel Barreda
• 21415 Tweets
Swalwell
• 20772 Tweets
レダーヨージロー
• 18083 Tweets
ゲーム機
• 15601 Tweets
اليابان
• 15143 Tweets
Fang Fang
• 13144 Tweets
Switch 2
• 13011 Tweets
Bernstein
• 13008 Tweets
60fps
• 10005 Tweets
Laptop actually, but
@zhusu
sir why alpha leakage?
This wick looks like whales bidding from their phones while out at lunch in Asian hrs
73
52
2K
14
4
230
2hrs ago Binance made a pretty big change to it's BTC spot trading market structure:
For the last few months Binance charged 0 fees for anyone trading on their BTC/USDT spot market, they just swapped that to BTC/TUSD - which is currently a dead market
25
19
180
Not that visible here but very recently ETH volume has taken over BTC volume on FTX (perps definitely)
In case anyone's interested:
A graph of % of FTX's volume over time by product.
44
59
549
4
20
126
👏 big props to FTX for this
A short story below
4) So anyone on FTX can whitelist IP addresses to get direct market access--the same as the 'big boys' will get.
We're rolling it out to everyone at the same time: tomorrow, October 11th, at 18:00 UTC.
23
25
273
5
14
128
Crypto market structure on CEX has changed quite a lot in the last month (basically since the crash), things are harder and different for quant firms.
So far we have been able to adjust decently (actually jumped up on the FTX volume leaderboard).
But we are only getting started
8
7
95
6 years ago crypto I happened to be at the right place at the right time: At the start of a bull market I was running a simple arbitrage system that caught the bull market by the horns
AGENT SMITH:
11
12
103
Pure speculation, but what I suspect happened is that the hackers who got ahold of the binance api keys (3comma breach) used them as part of bigger pump and dumps involving hundreds of people just there for pnd
This way can get cash out undetected
Sort of like a cex coinjoin
Binance locks withdrawals for some accounts amid what CEO calls ‘just market behavior’
70
76
232
14
17
83
When you are in the trenches of the orderbook, fighting with other MMs to try to make a basepoint, dealing with attack after attack of toxic flow
And you walk through the airport, walking past this other MM who’s quoting 15% wide for HKDUSD (which are pegged)
8
2
82
A
@dydxprotocol
governance proposal is live to fix the liquidity reward. Now it's game-able: with virtually no risk quoting massive orders very deep in the book to get free yield.
But
@EvgenyGaevoy
's Wintermute just shot it down to keep as is.
ctx:
11
5
80
1/n
OPPORTUNITY
The crypto markets are growing exponentially, numbers are getting big.
There is insane demand for trading services at a massive scale.
There exists no "traditional trusted financial service provider" who's been around for decades who is able to facilitate.
Have you truly lived, if you never held >$100 mln of $SOL you got from an OTC trade from $180 to $130 and back to $180 again?
- Wintermute OTC trader who shall remain nameless
10
14
202
3
9
78
Trying to master this trick where you pull money out of the air, not so easy as it looks.
http://t.co/u0pXYDn8mq
21
5
70
remember how everyone was on about proof of reserves for exchanges up to 2 months ago?
CT has the memory of a goldfish
exchanges don't care either if people don't care anymore
10
5
71
Seems like I'm getting the hang of it now!
5
2
67
Ventured down into this deserted part of the metaverse too deep
Until I found myself in
@DegenSpartan
’s lair
8
2
61
A very dark day in a dark week for crypto
Based on this announcement, the person they arrested didn't do any money laundering, just an open source dev
4
9
66
The crypto markets have been fruitful to us, but these times are hard for most people everywhere on the globe. Through FTX we've made a donation of $37,360 to help out those less fortunate.
4
1
61
unpopular opinion but:
While there were red flags & lies (the "no risk part", etc), that PNL was very doable back then by running arb - they weren't the only ones making that
The markets were insanely inefficient back then, single digit % spreads between liquid exchanges
Ever wonder how Alameda Research defrauded investors of $3.7B?
Let's take a look back at their pitch deck:
147
542
5K
12
4
62
Ethena:
The trade itself is very safe and well understood, many folks (including
@folkvangtrading
) have been running trades like this for years
But keep in mind it’s only risk free when talking about delta (..)
Since a lot of people do not understand Ethena cash and carry trade, here is a simple example:
1. User mints USDe with 100m USDT
2. 100m USDT is swapped into BTC
Now, this is not good enough. BTC is volatile, so if it fluctuates, the peg isn't stable either. Hence step 3:
3.
60
40
347
4
4
51
Spotted one of Folkvang’s algorithms running wild in the markets
0
1
47
Serum UI mirror in case the main one (hosted by Github) goes down:
1
6
42
Ah yes, my great great great grandfather
It’s how we lost the castles
Proper degen
thinking about the people that got liquidated on the dutch east india coin in the 17th century
49
114
2K
7
2
48
While I'm not really into this type of content creation, I have a ton of admiration for the insane dedication and the multi year grind that was needed to get there
1/n
Mad respect for
@MrBeast
, one of the biggest content creator. Grinding everyday hardcore for decade+. He shares a lot of good tips for content creators.
7
4
38
2
2
46
Back in the day, when AGENTSMITH ran from a raspberry pi on the other side of the world from the exchange, hacked together in a weekend
Times have changed, but still plenty alpha
2/ Triangle arb📐
This one's also rare. If it exists, will be gobbled up by HFT bots in no time.
Triangle arb is when u can swap btw 3 different assets & end up w/ more than you started. Can occur on 1 single exchange or multiple.
Example below:
Start @ 1 BTC, end @ 1.035 BTC.
3
7
56
3
1
45
Remember, a quant is only as effective as his tools
This calm before the storm is a great time to keep everything in top shape
3
1
45
agreed that crypto markets doesn't yield much fruit for those participating in arb/hft right now, and it's getting a lot more competitive
the pie is relatively small now, and a few of the bigger guys want bigger slices
tons of shops have been getting squeezed out recently
even market making the airdrop exchange listings is way tighter these days
for PEOPLE and other medium-sized airdrops in 2022 we would print for a week or two
in 2023, ARB was competitive on tier 2 venues 15 minutes in and basically dead pnl-wise within an hour
@mikevanrossum
2
1
19
2
3
44
To this day I still like what I'm doing
And that's the point I'm trying to make here: figure out what you really like, whatever it is, and start doing it, develop that passion and keep going
Before you know it (time flies when you're having fun) you can reach that level too
2
1
43
This market maker is not messing around with some serious liquidity on this tiny NEAR perp on FTX with a daily volume of less than 2m.
4
0
40
My perspective on the mm drama on CT recently:
Crypto is still pretty much the Wild West, there are few rules. That attracts folks doing all kinds of things (as we’ve seen in the collapse of last cycle)
Not all of these things are part of the financial future many want to see
6
1
38
I am going to weigh in on the whole AMM debate, are they good or bad?
Thread:
3
10
35
imo exactly the same applies to [crypto] quant trading
try stuff, build stuff and over time you might be able to figure out how to squeeze money out of the markets
it took me years
1
2
36
Cash and carry
The oldest trick in the book
Will it ever stop being profitable?
Damn guys. Not enough cash for the cash market position size?
28
11
240
4
3
38
Do you know what a profitable trading strategy is?
Probably not because I invented it in 2016 to arbitrage shitcoins on poloniex
Do you know what a "LAN party" is?
Probably not, because my friends and I invented it in the late 90s to play computer games together
We got together, connected computers...
Each grab a mountain dew and frag.
That's it, we simply engaged in CtF and deathmatch Quake, Warcraft
500
2K
33K
4
1
37
With some empires falling, others can climb to the top
Chaos is a ladder
1/ NEW: I wrote about the rise of Wintermute, one of the largest crypto trading firms in the world:
25
42
301
0
2
37
Touching ATH?
Don’t forget to touch grass (or sand)
Fock it
4
1
36
BTC future basis went from 25% annualized on jan 2 to less than half that now
Remember anon: Selling the fut basis always a safe trade, since it's guaranteed to settle at 0 - Having to wait for that is typically just worst case
Just stay easy on the lev
5
2
36
3
0
33
Good thread
Wasn’t literally a basement for Folkvang, but not that far off.
For me personally it was two key mentor figures at random internships pre crypto to get focus right, and GitHub and YouTube videos after.
Almost all the HFT firms in crypto I know were like 3 guys in someone's basement coding MM strats or something. Yes you can do the traditional route, but the chances of becoming the next hedge fund king is very small. They still are tiny teams of people who work like crazy.
4
5
61
3
1
35
I’m seeing many firms with very different approaches and different types of strategies (even in pure prop trading, eg no mm services or the like). Some are very trader heavy (many traders behind screens adjusting params), while others fully automated
Smaller teams risk
0
2
35
I think that ever since BUSD is on death row Binance is working on replacements, but whatever that looks like in the end, they need to move away from:
a) BUSD incentivization (lower fees etc)
b) USDT dominance
I think this is more about laying the groundwork to change that
1
0
31
I love this trade and I love tweeting about it, and I love others to get in it too.
But wrapping this trade up in a fixed income product you call a “stablecoin” with pretty much no risk, and then selling it to retail…
3
3
33
let us look back on the volume leaderboard, situated gloriously at center at the Bazaar - as something representing the bazaar at it's peak. With the competition, and the fights for market share, and the thrill of overtaking one another
I am a ghost
3
0
32
Will they kick you out if you trade options in the delta one lounge?
It’s finally here. The first-ever
@Delta
One Lounge opens tomorrow in New York, and it’s a stunning masterpiece.
In fact, it’s probably the nicest lounge in the country, and likely one of the best in the entire world.
Want to see why? Read on 🧵
(1/16)
266
358
5K
3
0
33
I love how Arthur got kicked out of Bitmex, but managed to secure a deal allowing him to blast his (great) newsletter to all Bitmex users over email. And Bitmex prefacing that to make it crystal clear he's not CEO anymore
3
0
28
Elon has awaken something from the past
0
4
30
How far can WSB get fighting against Wall Street? Great podcast where
@zhusu
explains how market structure is inherently against the small guy in traditional finance.
I find my self very much aligned with his arguments and a big reason why I got into crypto many years ago
2
1
30
And just on the trading side we're seeing insane growth in many sharp teams with guys like
@mgnr_io
@NibbioRekt
@0xttk
@EvgenyGaevoy
@TheSkyhopper
and many others I didn't list.
My hat off to all of you, may we meet in the markets
2
0
28
FTX (the exchange behind one of the bigger crypto quant firms Alameda Research) interviewed me just now. I talk about perspective of dev to quant and doing many things solo:
1
4
27
The one trick MMs don’t want you to know about
2
1
29
Yes, of course we bought the cheap tether
5
2
28
Maybe, but it’s the wrong motivator. I don’t know many people who worked hard because they wanted to get rich and then got rich
If that’s your driver you’ll likely don’t get why you want. But hopefully by then that’s not your main driver in life anymore
if you put your head down and work you’ll be richer than all your friends in 2 years
93
74
863
5
1
27
I'm a big fan of the FTX podcasts from
@jackshaftoes
(as a previous interviewee a bit biased), and this one is great!
Around the 15min mark Ellison talks about MMing on FTX and the risk of "getting picked off" if you are not fast enough 1/2
Caroline Ellison a lead trader at
@AlamedaResearch
is always a pleasure to speak with. She manages a lot of responsibility at AR and is always open to share sharp market insights.
16
8
127
1
2
27
Imagine enjoying your job so much that you don’t mind working a few hours in the weekend now and then..
I’d rather be someone who loves their job and doesn’t mind doing it in the weekend than someone who hates their job and longs for every hour away from it
If you are working after 5pm or on the weekends, it doesn’t matter what your net worth is or how much money you make
You’re poor
198
51
861
4
0
27
Ever BTC/USDT got 0 fee we have seen most BTC volume slowly gravitate towards this market - really dominating global spot trading with ~25% of all spot volume (depending who you measure). But that was based on a historically massive BTC/USDT market
TUSD is really tiny...
1
0
25
remember, bear markets are for building
don't forget why we are really here
in it for the tech
4
2
27
"what time is good?"
"how about when the perpetual derivatives settle?"
"..."
"that's Wednesday 3 UTC"
2
0
27
Around $80m worth
This size is not size
8/ As of now, the Foundation’s remaining reserves consist of the following assets:
· 313 $BTC
· 39,914 $BNB
· 1,973,554 $AVAX
· 1,847,079,725 $UST
· 222,713,007 $LUNA (of which 221,021,746 is currently staked with validators)
891
968
3K
2
0
27
Won't stop tweeting about how for the last few days, implied USD interest rate in the biggest offshore crypto markets is +0.3% per day (over 100% APY per year)
Typically with high demand we see more supply, why less now?
- ETF fractured inv/supply (from MMs)?
- Still weekend?
4
0
22
Folkvang is trading A LOT on FTX, deep into the 11 digits USD volume since we started there. And over time we gained tremendous respect for Nishad, A super solid engineer who just gets done whatever is needed. Whatever API issue we might have, if he has some time he'll sort us!
I admire
@Nishad__Singh
quite a lot! I'm happy he was able to take the time to sit down and chat with me. As Head of Engineering, he has been instrumental in growing FTX to the success it is now seeing.
3
10
55
1
2
26
I am wary about the thesis that crypto will go up when the economy falls. It has been a thought for over a decade, but we haven't really see it play out at all
The global economy has been in a bull run for over a decade, and the music has been slowing down for a while
(...)
7
0
25
The market gives, the market takes
Yesterday we saw some heavy price action in all crypto markets, a sudden sell-off saw BTC going down 25% in an hour and back up again an hour later. Alts even more
1
1
25
no trades on binance futures last few minutes
are we in that stage of the bear market no one wants to trade at all?
(or more likely just api hiccup)
4
0
23
@EvgenyGaevoy
Not sure how Hayden and Vitalik saying how they don't like certain trends means they are against capitalism (or aren't involved in building capitalist systems anymore)
They both have a certain vision of crypto, in terms of the types of things people will build and what people
2
0
25
While everyone is having fun at (cancelled?) auctions and mints in some metaverse, some serious sell pressure hit the APE perp.
Some are shorting (or hedging) size and are willing to pay 2% a day for the privilege.
6
2
24
At Folkvang we are constantly pushing technological boundaries when it comes to our trading systems.
But we have to keep limits in place, as some things can get out of hand at some stage.
0
0
23
It will be interesting to observe this new 0fee market
how will the market react, will it attract the same volume and liquidity as the USDT one did?
also given what's going on with stablecoins (and banks) in general
1
0
24
great list, strongly agree
(but in crypto)
except for 7: being able to squeeze alpha out not the same as personally willing to face many risks
and 10: a lot of alpha doesn't need big teams, the most amazing trading stories I know of are solo traders or teams of 2/3 people
I have worked with some great quants in my day, as well as some absolutely terrible ones.
Here are some common ways to spot a quant who will never make any money:
1. Abundance of hubris/disrespect for non-quants; corresponding disinterest in their knowledge
2. Convinced that
10
9
168
2
0
24
I am definitely agreeing with
@cmsholdings
here. DeFi is great and we are seeing many exciting things happening, but it can't magically make everything better.
A thread on liquidity:
I’m gonna take the other side of this thesis, I think AMM are quasi short vol and ultimately not going to displace MMs in the traditional sense but will ultimately get cannibalized by them, I think most people aren’t understanding this returns pf of these because everything is up
5
3
56
3
5
25
I for one love the pivot from tardfi market maker to 100x exchange innovator to twitter shitcoin influencer
3
1
23
I know I sound like a fanboy, but I've been fighting this fight for many many years. And never are exchanges open about what's happening (even though a few go out of their way to keep it as fair as possible).
(disclaimer: Folkvang received investment from Alameda years ago)
2
0
23
Agreed very much.
From a raw quant trading perspective ("how to find alpha and milk it") this distinction is very hard. But is in am important one if we want to develop healthy and fair bigger markets.
...1/n
1) Arbitrage is literally everywhere. Every single trade that ever occurs, one side of the trade is likely an arb.
2) MEV, in common parlance, refers to miner/validator-extractable value. Negative connotation bc its an un-intended feature of the stateful web and hurts users.
36
54
694
1
2
22
Yes, ofcourse we bought the cheap t̵e̵t̵h̵e̵r̵ USDC
Exciting weekend to be trading stablecoins
(...)
1
0
24
Kind of wild to think that 15 years ago Satoshi started this network and it has ran without interruptions (and for the most part without him)
A wild ride so far
840k blocks in, here is to Satoshi - Wherever he might be
467
3K
14K
0
1
24
Forum server has been down for a while, fixed now
Can't believe this crypto HFT adventure (that grew into Folkvang) started over 5 years ago
time flies when you're having fun
1
1
4
5
1
23
I am moving to the metaverse
@digitalartfair
We'd add to that:
-Crypto Friendly
- Tax "Friendly"
Where would you go?
@mikevanrossum
@EvgenyGaevoy
@mgnr_io
6
0
6
1
0
23
spreads, spreads everywhere, this one from last few hours
I think many people underestimate how the majority of crypto trading volume can be most easily explained through spreads
remember, spreads are just a way to look numbers - a VERY important way if you are a quant
4
0
22