FMZ Quantfmzquant.hashnode.dev·11 hours agoQuantitative Practice of DEX Exchanges (1) -- dYdX v4 User GuidePreface With the rapid rise of decentralized exchanges (DEX) in the field of cryptocurrency trading, quantitative traders have turned to these platforms gradually for efficient automated trading. As one of the most popular decentralized trading platf...Cryptocurrency
FMZ Quantfmzquant.hashnode.dev·Jul 10, 2024High-frequency backtest system based on each transaction and the defects of K-line backtestWhen I wrote Research on Binance Futures Multi-currency Hedging Strategy, I also released a backtest engine. And the first report was based on the one-hour K-line backtest, which verified the effectiveness of the strategy. But the sleep time of the a...Backtesting
FMZ Quantfmzquant.hashnode.dev·Jul 9, 2024Some Thoughts on the Logic of Crypto Currency Futures TradingProblem scene For a long time, the data delay problem of the API interface of the crypto currency exchange has always troubled me. I haven't found a suitable way to deal with it. I will reproduce the scene of this problem. Usually the market order pr...Cryptocurrency
FMZ Quantfmzquant.hashnode.dev·Jun 21, 2024Why do we need an off-sample testSummary In the previous section, we showed you how to read the strategy backtesting performance report by focusing on several important performance indicators. In fact, it is not hard to write a strategy that making profit in the backtesting performa...optimization
FMZ Quantfmzquant.hashnode.dev·Jun 21, 2024How to implement strategies in Python languageSummary In the previous article, we learned about the introduction to the Python language, the basic syntax, the strategy framework and more. Although the content was boring, but it's a must-required skill in your trading strategy development. In thi...Python
FMZ Quantfmzquant.hashnode.dev·Jun 14, 2024RSI2 Mean Reversion Strategy using in futuresFrom Many friends asked me to write a grid and market maker strategy,But I generally decline directly. Regarding these strategies, first of all, you must have a strong mathematical knowledge, at least a doctor of mathematics. In addition, high-freque...Futures
FMZ Quantfmzquant.hashnode.dev·Jun 12, 2024A Brief Discussion on the Balance of Order Books in Centralized ExchangesRecently, I have summarized some key insights from papers studying limit order books. You will learn how to measure the imbalance of transaction volume in the order book and its predictive ability for price trends. This article explores methods of us...balance
FMZ Quantfmzquant.hashnode.dev·Jun 7, 2024Thoughts on High-Frequency Trading Strategies (3)In the previous article, I introduced how to model cumulative trading volume and analyzed the phenomenon of price impact. In this article, I will continue to analyze the trades order data. YGG recently launched Binance U-based contracts, and the pric...trading,
FMZ Quantfmzquant.hashnode.dev·Jun 4, 2024Tycoon reveals algorithm trading: FMZ Quant platform market maker strategyDigital currency algorithm transaction guide In this article, we will discuss the design and implementation of the trading algorithm in Canadian currency. In particular, we focus on execution algorithms, market maker algorithms and several market mi...algorithms
FMZ Quantfmzquant.hashnode.dev·Jun 4, 2024Three potential models in quantitative tradingThe triple realm of trading: induction - deduction - gaming Period potential model MA1:MA(O,18); //Find the average opening price of 18 periods TMP:=(REF(C,1)-REF(C,10))/REF(C,1); // The difference between the closing price one period ago minus the c...trading,
