gumby @gumby_arc Twitter profile

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@ibubohay2

gumby

@gumby_arc

6 months

my original pvp arena

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gumby

@gumby_arc

9 months

I'm at around 2 months into this mm/hft rabbit hole. I feel like you can learn by yourself most of what you will need to become a good dev, but finding good resources about trading is extremely hard

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gumby

@gumby_arc

8 months

my quoting system is finally working like I wanted, this is actually a good representation of the logic behind it:

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gumby

@gumby_arc

9 months

second day of testing live and it looks like I have some latency and fair price problems. Markouts are generally positive but once in a while I get very toxic fills from big taker orders

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gumby

@gumby_arc

6 months

@ekrii3 men will literally bookmark this post instead of going to therapy

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gumby

@gumby_arc

6 months

this was not even 4 months ago, feels like ages

gumby

@gumby_arc

10 months

I will post my entire learning arc about crypto market making while building a bot from scratch. I will be trading on Hyperliquid with a $50M volume goal

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gumby

@gumby_arc

9 months

started building a simple mm infra as a uni project and now I can't stop working on it, integrating hyperliquid is the next week goal

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gumby

@gumby_arc

7 months

Hong Kong good👍

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gumby

@gumby_arc

9 months

my infra is such a mess right now that it takes me ages to implement a new exchange

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gumby

@gumby_arc

9 months

I recently had to change how I model my bid/ask spread in order to quote a bit wider. Nothing special I just track volatility, trading intensity and inventory.

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gumby

@gumby_arc

10 months

I will post my entire learning arc about crypto market making while building a bot from scratch. I will be trading on Hyperliquid with a $50M volume goal

Hyperliquid

@HyperliquidX

10 months

Switch to Hyperliquid for a holiday gift 🎁 CEX traders get 50% off fees for your first $50M volume. Go to to get started. Fees become 0.012% taker and 0.002% maker rebate - the cheapest place to trade perps. All you need is an email to start trading. -

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gumby

@gumby_arc

9 months

today I'm working on my theo model, never worked much on anything similar so it's a lot of stuff to process... I will probably spend a lot of time on this until I get back to other parts of my mm infra

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gumby

@gumby_arc

9 months

Do you guys have any advice on where to start from/study to build a fair price model? What would you focus on if you started from zero? ideas, books, papers and repos are welcome

gumby

@gumby_arc

9 months

today I'm working on my theo model, never worked much on anything similar so it's a lot of stuff to process... I will probably spend a lot of time on this until I get back to other parts of my mm infra

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gumby

@gumby_arc

9 months

I feel like I have a good idea on how wide my quotes should be in an optimal market condition. But when volatility spikes it seems like my quotes don't adapt fast enough. I'm trying to implement some simple feature to make my spread model more "reactive" in the short term

gumby

@gumby_arc

9 months

super busy with uni this week but I finally finished my spread model or whatever you want to call it. No more crazy things on volatility spikes, still feels far from perfect tho

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gumby

@gumby_arc

6 months

@xmgnr @TheFlowHorse

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gumby

@gumby_arc

9 months

super busy with uni this week but I finally finished my spread model or whatever you want to call it. No more crazy things on volatility spikes, still feels far from perfect tho

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gumby

@gumby_arc

9 months

looks perfect, I'm providing liquidity to the other side of the book!

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gumby

@gumby_arc

8 months

abstracted all the exchange generic logic, I'm on the grind

gumby

@gumby_arc

9 months

my infra is such a mess right now that it takes me ages to implement a new exchange

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gumby

@gumby_arc

8 months

found this interesting repo on Poisson processes some time ago but not sure if any of this could be useful in prod

GitHub - im1235/EIE: Poisson intensity of limit order execution, calibration of parameters A and k...

Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data - im1235/EIE

github.com

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gumby

@gumby_arc

8 months

~3 months since I started

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gumby

@gumby_arc

7 months

2...2...2000 features?

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gumby

@gumby_arc

6 months

I have to pick back up some stats books, it's time to level up my modelling skills

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gumby

@gumby_arc

9 months

@MoscoviumUup I have something that does not lose money😂

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gumby

@gumby_arc

8 months

@BeatzXBT not even a meme

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gumby

@gumby_arc

9 months

still working on this damn quote updates queue, slowly starting to make more sense but it's not good enough yet

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gumby

@gumby_arc

6 months

oof my brain is getting fried

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gumby

@gumby_arc

9 months

should I try to quote at multiple depth levels to get a better avg fill price on this large market orders? I will probably test something live and quickly see if it's better or worst

gumby

@gumby_arc

9 months

looking more into it it's not as bad as it seems

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gumby

@gumby_arc

7 months

@liquiditygoblin this twitter targeted posts are getting crazy

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gumby

@gumby_arc

6 months

@BeatzXBT idk not many frens are active here anymore

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gumby

@gumby_arc

9 months

high volatility --> more inventory --> quotes get skewed to much on one side opposite will happen when vol is little --> quotes remain almost symmetrical and I accumulate too much inventory

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gumby

@gumby_arc

10 months

I'm building a very simple market making infra for a university project (classic A&S model). I update my quotes every 1s and I want a wider spread as volatility increases. How do you model the volatility parameter so that it is meaningful for such a short period?

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gumby

@gumby_arc

9 months

just finished adding errors alerts and logs, what else am I missing on my dashboard? I don't want to add to much data tho

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gumby

@gumby_arc

9 months

@369brrr @chameleon_jeff @KasperLoock @frothybeverage Are there enough front runners worth front running tho?

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gumby

@gumby_arc

9 months

first bad surprise, it's not looking good🫡

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gumby

@gumby_arc

9 months

@BeatzXBT Yeah I had a wrong param in my config file and the spread went crazy, no damage done tho

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gumby

@gumby_arc

9 months

@thodoha mmh I see, also I guess rate limits could became a problem... but I guess that most of the times my theo changes I wouldn't have to cancel all orders at once

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gumby

@gumby_arc

6 months

@0xyieldmaxi @twinkonchain depends on the stakes, if low anything from 12 to 20 and more if I could find enough

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gumby

@gumby_arc

9 months

@TimMeggs okay, will do soon. I put something together really fast because I didn't want to miss out and just now realized how bad it got over time

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gumby

@gumby_arc

9 months

let's say I want to start quoting more then 1 level per side, how do you decide at what depth you are going to quote the second level bids/asks. Any suggestions on how to build this?

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gumby

@gumby_arc

6 months

@nayshins @laurentzeimes don't remind me about that

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gumby

@gumby_arc

9 months

@MoscoviumUup (at least not all of them)

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gumby

@gumby_arc

6 months

I'm not fumbling PURR here, would make sense if buying is rewarded more then just holding the airdrop. But maybe this is just cope for not having a spot mm infra ready

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gumby

@gumby_arc

9 months

@TimMeggs I was 100% sure someone was going to say something about that😂

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gumby

@gumby_arc

9 months

@cryptohound666 @TimMeggs I think it's more about next tick prediction rather then second in hft

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gumby

@gumby_arc

8 months

ig it's time to move all the infra monitoring out of the main process, it's getting quite heavy on my ec2 instance. Do I keep error monitoring and move out the rest?

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gumby

@gumby_arc

6 months

@0xyieldmaxi you can't keep getting away with it

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gumby

@gumby_arc

9 months

@Vertox_DF nope, but I will soon

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gumby

@gumby_arc

9 months

@frothybeverage damn this 99.9th looks very low

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gumby

@gumby_arc

6 months

@laurentzeimes gg

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gumby

@gumby_arc

9 months

I'm trading on OKX but a lot of data I use comes from other exchanges (Binance, Bybit...) How do you decide where to put your infra? (ali cloud, aws hk, aws tokyo)

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gumby

@gumby_arc

10 months

btw I removed any implementation of the A&S paper into my market making infra. I think it's a good theoretical paper but I don't find it useful for what I'm trying to achieve

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gumby

@gumby_arc

6 months

nice timing

Hyperliquid

@HyperliquidX

6 months

HIP-1 and HIP-2 will soon open up for users to permissionlessly deploy on the Hyperliquid L1. To recap, HIP-1 is a standard to deploy native tokens and onchain spot order books. HIP-2 permanently commits liquidity to a spot order book for HIP-1 tokens and synergizes with users'

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gumby

@gumby_arc

10 months

question for all CT quants: is the microprice paper by Stoikov a good starting point to build a fair price model for crypto markets? I'm thinking of adding more features to it other then the ob imbalance;

GitHub - sstoikov/microprice

Contribute to sstoikov/microprice development by creating an account on GitHub.

github.com

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gumby

@gumby_arc

10 months

@AirM4rx @0xyieldmaxi did this is 2 years ago with the mev boys, peak bull run euphoria

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gumby

@gumby_arc

6 months

@higgsbranch @AmirAli7e @BeatzXBT @Dub0x3A @xmgnr average gabe morning routine

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gumby

@gumby_arc

9 months

@laurentzeimes this looks sick

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gumby

@gumby_arc

9 months

@ieszczyk @DegenQuant @BeatzXBT not from the US, but it shouldn't be to hard tbh

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gumby

@gumby_arc

8 months

now it's time to go full rust but this will take time ig

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gumby

@gumby_arc

8 months

@0xCuteSocks

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gumby

@gumby_arc

8 months

@369brrr @BeatzXBT @talmarygold this not looking good

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gumby

@gumby_arc

9 months

imagine the future of decentralized exchanges if every dex could write docs like Paradex

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gumby

@gumby_arc

9 months

@BeatzXBT and binance

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gumby

@gumby_arc

9 months

looking more into it it's not as bad as it seems

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gumby

@gumby_arc

10 months

just learned this lesson. I thought that quoting a wider spread would remove the bad markouts (it kinda did) but it also removed all the good ones

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gumby

@gumby_arc

10 months

I'm currently quoting 1 order per side but I'm thinking about starting to place multiple orders at different depth levels. Is this the most common approach when market making crypto?

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gumby

@gumby_arc

9 months

I'm looking for exchanges with their servers in the HK region, anything other then OKX?

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gumby

@gumby_arc

8 months

@laurentzeimes they will take the top 3 as soon as retail steps in

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gumby

@gumby_arc

10 months

@BeatzXBT @nadogoyard Why did you upgrade to t3.medium?

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gumby

@gumby_arc

10 months

@laurentzeimes That’s a bybit feature not a bug

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gumby

@gumby_arc

6 months

@laurentzeimes in it for the tech

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gumby

@gumby_arc

10 months

Just asking because I see many people doing this and maybe there is some particular reason

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gumby

@gumby_arc

6 months

@unopatient Who is uno?👀

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gumby

@gumby_arc

10 months

damn pricing funding rates is much harder then I thought... this thing is a mess

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gumby

@gumby_arc

9 months

@0xtaured If someone at #OKX is reading this my DMs are open I could use a better fee tier 😁

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gumby

@gumby_arc

10 months

@phoenixstealthy Looks like very few trades compare to what I’ve seen from other mm accounts

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gumby

@gumby_arc

7 months

@laurentzeimes

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gumby

@gumby_arc

10 months

Is there any reason to cancel orders and then make new ones instead of using the amend orders endpoint?

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gumby

@gumby_arc

10 months

@0xyieldmaxi @BeatzXBT @CantianSeven mmh I will try something like this for now, might need to find a better solution later tho

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gumby

@gumby_arc

10 months

the main problem I've found is that the microprice is always somewhere between the bid and ask spread which doesn't seems to be a realistic assumption in crypto perps

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gumby

@gumby_arc

6 months

@higgsbranch @Dub0x3A @xmgnr someone left gabe off his meds

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gumby

@gumby_arc

9 months

@LTUEKRAHSECHTE I get ob/trades ws data from major exchanges

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gumby

@gumby_arc

10 months

I've just realized that rather than trying to improve some of this bad fills I can just place less orders. Need to find the good middle ground so that I can grind some volume

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gumby

@gumby_arc

10 months

@MrEhpresso @sasuke___420 @laurentzeimes oh wow what's a good tick to trade latency in crypto? I always wondered how fast is crypto hft but there are not many info out there

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gumby

@gumby_arc

9 months

@BeatzXBT @TimMeggs @xmgnr I guess the main one it's price prediction and whatever comes with it

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gumby

@gumby_arc

9 months

@0xMagnus_ crypto derivs market making

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gumby

@gumby_arc

9 months

The problem I've found when trying to skew quotes based on inventory is that I kinda get the opposite result of what I wanted.

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gumby

@gumby_arc

9 months

about my last post: I added a request queue to my mm infra. I no longer use a fixed interval between order updates. It's not completed yet but it's better then what I had before...

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gumby

@gumby_arc

10 months

@BeatzXBT *from stackoverflow The "T" or Trade time is the time of the transaction in milliseconds. The "E" or Event time is the time value is inherent only to the sockets. It is associated with creating a socket object. I still don't understand how there is such a huge difference in ms

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gumby

@gumby_arc

10 months

@BeatzXBT Hey, I'm building something similar for a uni project but I'm having some problems understanding how to model short term volatility. How do you define a volatility range?

gumby

@gumby_arc

10 months

I'm building a very simple market making infra for a university project (classic A&S model). I update my quotes every 1s and I want a wider spread as volatility increases. How do you model the volatility parameter so that it is meaningful for such a short period?

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gumby

@gumby_arc

9 months

this is the first time I came to a roadblock in my project. I'm having an hard time understanding how to implement pricing features in my market making infra, I will have to do some studying before I can progress. Any resource or ideas are welcome

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gumby

@gumby_arc

9 months

@0xyieldmaxi I'd love to, just dm me

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gumby

@gumby_arc

10 months

I tried to work with this model but it seems like it is not the best solution for crypto because of the small tick sizes of instruments

gumby

@gumby_arc

10 months

question for all CT quants: is the microprice paper by Stoikov a good starting point to build a fair price model for crypto markets? I'm thinking of adding more features to it other then the ob imbalance;

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gumby

@gumby_arc

9 months

@BeatzXBT @sasuke___420 this seems to be the best solution in my case

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gumby

@gumby_arc

9 months

@nayshins this is just matplotlib

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gumby

@gumby_arc

9 months

I have been working a lot on my simple market making infra in the past few weeks. Any tips on how to manage rate limits? Maybe there are some good repos out there but I can’t find any

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gumby

@gumby_arc

6 months

@zaayyk I'm just grinding