<>:Ywus
Original link: https://x.com/Boywus/status/status1918941848728658129?s=19
<><article represents the author and not represent Wu Blockchain's perspective
This article deconstructs the strategy that earned over 10 million dollars in the BITGET VOXEL/USDT event. Even on that day, you only needed to start the program without complex parameters, as BG's market makers actively started printing money and distributed it across the entire market.
This article deconstructs the strategy that earned over 10 million dollars in the BITGET VOXEL/USDT event. Even on that day, you only needed to start the program without complex parameters, as BG's market makers actively started printing money and distributed it across the entire market.
This strategy belongs to a high-frequency trading LEAD-LAG derivative branch, practical currently still effective, several points to note:
2may easily trigger exchange risk control; if significant profits are generated, you might not be able to withdraw everything. The author has negotiated with multiple exchanges, with some accounts only recovering the initial deposit
3. requires low-latency servers, high-performance programming, and multi-account trading, involving distributed deployment due to multiple IPs
Using Bitget as the trading market and Binance as the guiding market for explanation; in practice, multiple guiding markets might jointly determine, with only long position opening as an example, other indicators simplified;
Theoretical basis: We generally believe the guiding market's price is faster by several ticks with high energy intensity; macro uptrend and needle insertions are essentially composed of multiple wave peaks and troughs, so we essentially just need to follow the guiding market in micro-trading with the simplest move: buy low, sell high.
First, define: TTL order survival time, the interval between placing an order and your next cancellation, simply set at 100ms
Understanding basis:
1. Subscribe to both orderbooks, simplified by not using the latest transaction price, taking mid price as market price
2. Assume taking 60 Binance and Bitget midprices
3. Calculate the price difference between two exchanges, smooth it to get volata normalized basis
Further theoretically process Binance price, obtaining a price in Bitget market simplified to:
Bitget market fair price =AncePrice - basis
Representing we believe Bitget's price must follow Binance's price;
Define order price: Order price = Fair price * (1-delta);
Delta is typically dynamically valued, to solve the rigidity of normal basis. For simplicity, directly fix at 0.2%.
Assuming market price drops from 105, each tick 1to 100 rise to 102; Binance price isance tick faster than BITGET, follow below table div BINANCEbit
00:00
00:00:01| | 104
00:00:02| 102 | 103
00:00:03 | 101 | 102
00:00:04 | 100 | 101
00:00:05 | 101 | 100
00:00:06 | 102 | 101
At fourth second, order price on BITGET is get 100 * * (1 - 0.2%) = 99.8, less than market price 101, will hang on buy side, not executed
At fifth second, cancel 99.8 order; new order price is 101 * (1- 0.2%) = 100.798; BITGET market market price is 100, so direct execution at 100, completing market buy finally exit at 101 >
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normally, markets continuously follow guiding market's price with stable basis, opportunities during significant guiding market changes, when prices drop then rise, markets causing markets to devnormal strategy typically manifests order book,-frequency catching, order characteristics. div In 4/20 VOXEL example, 16:10-:10-16Binance price 0.1340-0.1459, brief high 0.14888, while BITget price market makers controlled 0.1263-0.1573, generating billions in daily trading volume. UsingAnce gu, execution and selling, essentially Bitget market makers not following guiding market, buying buying high, selling selling low, technically technically market maker parameter setting error.
1. 本策略属于高频交易，有可能拉高账易户的撤单率和 率 taker 率
