https://medium.com/@jarettdunn/a-perfectly-symmetrically-delta-neutral-market-maker-4f5a3ad47612
https://i.imgur.com/oY7DdYY.png
loads of changes. significant change is that it market orders 1/10 of the amount if pos >350 <-350, every interval, and adjusts the 1/10 mark to achieve a consistent 75% maker volume.
This lessens the overall risk and allows for a higher pos_lim_long & short.
The more we can keep delta neutral, the less we have to worry about significant moves.
How's the bot been running for you? Are you my ref also running eth?
We might also want to kill march futures (by default on btc on repo, just remove 'btc-' from 'btc-mar20' and it'll also kill eth mar fut) because we're close to expiry.
SLs now reduce to delta neutral, instead of marketing out the entire position. This is extremely helpful in not losing a whole bunch of $ on SL, meaning we can SL more often.
Moon!
Check out Coindex Lab’s symmetrically delta-neutral market making bot!
Great news! It’s available here:
https://github.com/DunnCreativeSS/deribitBitmexMarketMaker_ByFunding
(please do sign up under my affiliate link, though!)
How is this fantastic?
Hey Deribit,
I did about $200k volume on BTC perp and futures last 24hrs on $70 balance.
https://i.imgur.com/1PcU88c.png
and >$6million total.
my CEO has done $12m
https://i.imgur.com/SdIbPTC.png
We’re increasing our market maker first to $5k balance next week on a separate account, next pilot will be $150-$300k and then our first round of funding will be ~$50m (which should be a significant amount Deribit but also diversified a bit).
We’re wondering if we could negotiate a preferred fee rebate on top of the standard offer, to provide this kind of liquidity? Even a slight improvement on rebate would be exponential for us.
-Jarett
Chief Liquidity Officer
Coindex Labs
Also,
And this is just me talking out loud:
https://blog.deribit.com/partners/
We could certainly provide an endpoint, websocket or SaaS for market making signals if we were to arrange an agreement.
You can follow our livenet market maker on Ryan’s subaccount bot_POC on (redacted email) or here:
How do we negotiate a partner status with Deribit, while we’re preparing to go live with our fund?
-Jarett
Chief Liquidity Officer
Coindex Labs
The bot checks funding rates on Deribit among perpetual and futures, and longs whichever pays the other. When longing or shorting perp and shorting or longing futures, it 4x the longs on perp in ordersize so that — effectually — at any point it should be near 0 total position. This effects a situation where upwards or downwards movement in market doesn’t affect the returns, and you effectively collect on fees + the convergence of your perp and futures in cash n carry arbitrage + the spread.
https://i.imgur.com/1bIMXkx.png
Isn’t that beautiful?
Originally published at https://jare.cloud on March 6, 2020.
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source https://www.reddit.com/r/btc/comments/fgtu1i/cash_in_a_perfectly_symmetrically_deltaneutral/
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