Market making research
Crypto market making
Strategies
Fee tiers and assumptions
Fees in bp of traded value; a negative maker fee is a rebate. Only the fee changes between rows.
Performance
P&L over the sample
Where the money comes from, at each fee tier
Average bp per day. The spread earned and the gains from holding a position are the same at every tier; only fees and rebates change, and they decide whether the strategy makes money.
Fill quality
Quotes over time
Two-way trading: our quotes second by second
A representative day: position against its limit
Research findings