STRATEGY ACTIVE

Asset Cross-Exchange Market Making

Delta-neutral latency arbitrage capturing spread differentials between Maker and Taker venues with automated hedging.

0.14%
Min Profitability
ฮ”=0
Delta Neutral
<100ms
Hedge Latency
01

Strategy Classification

โšก
Strategy Type
XEMM
Cross-Exchange Market Making with latency arbitrage
๐Ÿ“ˆ
Maker Venue
Primary
Lower liquidity perp venue with wider spreads
๐Ÿ”„
Taker Venue
Secondary
Higher liquidity CEX with tighter spreads
๐Ÿ›ก๏ธ
Risk Profile
Delta-Neutral
Hedged on fill + global inventory hedge
02

Live Trading Simulation

Order Book Visualization
๐Ÿ“Š Scanning markets for opportunity...
Maker (Spot) MAKER
Hedge
Taker (Spot/Perp) TAKER
๐Ÿ“Š
Fetch Prices
๐Ÿ“
Place Maker
โœ…
Fill Detected
๐Ÿ”„
Market Hedge
๐Ÿ’ฐ
P&L Captured
03

Secondary Orders (Layered)

Order Layering Visualization
After primary orders are placed, secondary orders layer deeper in the book
BUY SIDE
โ—
PRIMARY $153.50 0.25 Units (~$38)
โ‰ฅ 0.3% gap
โ—
SECONDARY $153.04 0.10 Units (~$15)
$0.12 Spread
SELL SIDE
0.25 Units (~$38) $153.62 PRIMARY
โ—
โ‰ฅ 0.3% gap
0.10 Units (~$15) $154.08 SECONDARY
โ—
Secondary Amount
0.10 Units
Min Gap from Primary
0.30%
Wall Threshold
$500
Condition
Primary Active
๐Ÿ“ฆ Layering Logic
1 Primary order placed at best wall + penny jump
2 If primary active โ†’ scan for deeper wall (โ‰ฅ$500)
3 Secondary placed at deeper wall with โ‰ฅ0.3% gap
4 Both hedged independently on fill
04

Mathematical Framework

Walk-Away Price Limits
max_buy_limit = Ptaker_bid ร— (1 - min_profitability)
min_sell_limit = Ptaker_ask ร— (1 + min_profitability)
Fee Decomposition
min_profitability = taker_fee + maker_fee + slippage
= 0.00% + 0.04% + 0.10% = 0.14%
Inventory Skew Model
inventory_delta = current_base_pct - target_base_pct
price_shift = -1 ร— delta ร— shape_factor ร— Pref
Profit Equation
Profit = SpreadMaker - SpreadTaker - Fees - Slippage
05

Strategy Parameters

Order Amount
0.25 Units
Min Profitability
0.14%
Taker Buffer
0.03%
Wall Threshold
$300
Target Base %
55%
Shape Factor
0.5%
Panic Threshold
20%
Collision Buffer
$0.05
06

P&L Decomposition & Risk

Edge Per Trade
Spread Captured
+0.31%
Maker Fees
-0.04%
Taker Fees
0.00%
Slippage
-0.10%
Net Edge
+0.17%
Inventory Level
55%
Base Asset
โ— Normal Mode
โ— Panic Mode
07

Execution Timeline

t=0
Fetch Taker prices
t=1ms
Compute walk-away limits
t=5ms
Place LIMIT_MAKER order
t=N
Fill detected on Maker
t=N+1ms
Send MARKET hedge to Taker
t=N+50ms
Hedge confirmed, P&L locked