High-frequency market maker strategy: Bid-Ask Spread × trading volume − inventory cost − hedging cost = profit (in-depth dismantling)

Оригинальный автор：Crypto智识局

Первоисточник：https://www.youtube.com/embed/xXO4S_aW7eM

Market makers do not bet on direction, they only make the price difference. But behind the price difference are inventory risks, hedging costs, speed wars, and a mathematical problem accurate to milliseconds. ━━━━━━━━━━━━━━━━━━━━━━━━ [Content of this issue] ━━━━━━━━━━━━━━━━━━━━━━━━ 00:00 Opening Hook 00:25 Chapter 1 · Market Maker—Bilateral Quotation and Spread Mathematics 01:35 Chapter 2 · Inventory Risk— Hedging model and CME futures 02:37 Chapter 3 · High frequency and delay - four levels of speed war 04:14 Chapter 4 · DeFi market making - Uniswap V3 active market making and impermanent loss 05:14 Chapter 5 · Spread mathematics - Glosten-Milgrom optimal spread model 06:52 Closing · CTA ━━━━━━━━━━━━━━━━━━━━━━━━ [Core Formula] ━━━━━━━━━━━━━━━━━━━━━━━━ Profit formula: Profit = Spread × Volume − Inventory cost − Hedging cost Spread percentage: Spread% = (Ask − Bid) / Midpoint × 100 Binance BTC/USDT ≈ 0.0014% Annualized profit estimate: Annual profit ≈ Daily trading volume × Daily average spread × 365 1000 BTC/day × 0.01% × 365 ≈ 18 BTC/Annualized Glosten-Milgrom Optimal spread: Spread = f (information asymmetry degree ↑, inventory level ↑, competition intensity ↑) The more serious the information asymmetry → the larger the price difference, the more inventory → the larger the price difference, the more intense the competition → the smaller the price difference━━━━━━━━━━━━━━━━━━━━━━━━ [Key data points] ━━━━━━━━━━━━━━━━━━━━━━━━ • Binance mainstream currency pair price spread: less than 0.01% • DeFi liquidity pool spread: 0.3%–1% • Microwave tower latency: 1–3ms • Co-location (same computer room): less than 1ms • FPGA (hardware matching): less than 100μs • ASIC (custom chip): less than 1μs (nanosecond level) • Uniswap V3 top LP annualization: 100%–300% • DeFi High volatility loss: greater than 50%/annualized━━━━━━━━━━━━━━━━━━━━━━━━ [You will learn] ━━━━━━━━━━━━━━━━━━━━━━━━ → Accurate calculation method of Bid-Ask Spread → Inventory risk and CME futures hedging strategy → Four speed competition levels of high-frequency market makers → Uniswap V2 Passive market making vs V3 active market making → The essence of impermanent loss → The logic of Glosten-Milgrom optimal spread model → Why "they are arbitrage mathematicians, not gamblers" ━━━━━━━━━━━━━━━━━━━━━━━━ [Related concepts] ━━━━━━━━━━━━━━━━━━━━━━━━ Market Maker · Bid-Ask Spread · Inventory Risk CME Futures Hedging · FIFO Matching · Co-location FPGA · ASIC · Information asymmetry Uniswap V3 · Active market making · Aggregated liquidity impermanent loss · Impermanent Loss Glosten-Milgrom model · Optimal spread liquidity provider LP · Fund Utilization Ratio━━━━━━━━━━━━━━━━━━━━━━━━ [Series Introduction] ━━━━━━━━━━━━━━━━━━━━━━━━ CryptoAI Knowledge Base: Breaking down the crypto world from a technical perspective. Each issue has a theme, explained in depth and thoroughly, without speculation, just logic. Previous issue: EP01 - Cryptocurrency exchange technology insider This issue: EP02 - High-frequency market maker strategy Next issue preview: Introduction to on-chain data analysis - Determining the true activity of the project, capital flow and risk signals --- #crypto #Marketmaker #High-frequency trading #Spread #Uniswap #DeFi #AMM #MarketMaker #Impermanent loss #GlostenMilgrom #Liquidity #Smart Contract #Digital Currency