I’ve mentioned a number of times how Alameda relies really heavily on human decision making, and we’d be significantly less profitable if we just let our bots run free. I thought I’d take a chance to explain one way in which that’s directly true.
So behold: one of our internal PNL graphs: 
Every day we generate lots of these graphs for different segments of our trading to try to understand how things have been going lately -- we might split out by underlying coin, exchange, spot/perpetuals/quarterlies, which strategy it was, etc.
This is a graph of the PNL from trading we ascribe to “DELTA_ALL pointer despos” changes (and it’s marked to 5 different end times, 1, 5, 15, 60, and 360 minutes later). What does that mean?
First, despos: this is our internal shorthand for “desired position,” and is something we use to encourage our bots to buy or sell. If we increase our desired position, our bots will become more set up to buy (fading our quotes up), and vice-versa.
Next, pointer: this is the name of our internal trading system. It’s where we monitor our bots’ trades, see/edit parameters, see markets, and can execute manual trades as well. One set of parameters we update all the time are the pointer desposes.
Many different sources can contribute desposes to the bots -- many are automated, but the “pointer desposes” (the ones set in pointer) are 100% manual and are how our traders enact their desires to buy or sell a given product or set of products.
A despos can be set for anything -- something specific like “BTC 0626 quarterlies on FTX,” something broader like “all BTC perpetuals,” and something even broader like “all BTC products.” The one here, though, is the broadest that any our systems support -- DELTA_ALL.
DELTA_ALL is our measure of “overall crypto exposure.” The gist of it is: using recent historical correlation (basically), we give each coin a beta to BTC, then add that up for every coin we trade, and that’s our DELTA_ALL (so named because it’s the delta of all our positions).
When we change the DELTA_ALL despos, that affects *all* our quotes (except something like USDT/USD which doesn't really have BTC exposure). This is something we touch manually quite often, since we really often want to “buy crypto” or “sell crypto.”
How does the PNL graph get generated? Basically, we ascribe some set of trades that we did as having happened due to the despos changes.
(This isn’t exact because you can rarely know exactly which of hundreds of inputs caused the bot to do something, but we’ve found using it as a proxy to be reasonable.)
Then for each mark time we’re looking at, we look at what the position was worth that much time later, and that gives us the PNL we ascribe to the despos change.
Again, this doesn’t paint a *totally* complete picture (if we got net longer or shorter, we’ll likely close later and pay some small execution cost, e.g.), but we’ve found it a good proxy.
Phew! Now that that’s explained, you can see that our pointer despos PNL on that day was pretty good! This was an especially good day for it, but it’s not too atypical -- most days from the past week or two have had similar trajectories.
There’s a million reasons we might change the pointer despos -- liquidation behavior a human has noticed, big order book update, some derivative premium has changed, USDT doing something idiosyncratic, perpetuals funding changing, delta opinion about the halving, etc. etc. etc.
Often, when we have a stretch where our pointer desposes are great, it’ll be because a trader has had some insight they’re manually trading and we’ll work to get it into our bots -- that’s just what happened here, and we recently automated most of the trade being put on here.
Which frees up our time to look for the next great effect that only a human is going to think of -- and that’s what we depend on.
Fun side note about pointer: all the pages are very bright, and I’ve been asking our devs to make a dark mode for a long time
They decided to implement it but refuse to tell me how to enable it, claiming there’s a “hidden button” somewhere on all the pages that everyone can find but me.
I’m honestly baffled about what’s going on and am about 75% sure I have access to no such button, but I have seen other people’s pointers in dark mode, so who knows. (This sounds a little mean but I can’t pretend I don’t deserve it.) We have fun :P
Update: I've just lost $1k by selling $100k notional @ .99 to the one of the devs they could successfully turn my pointer into dark mode in one try.
