1/ Controversial take: hard work is more important than smart work.
It's a myth that we only have a few hours of good creative work per day. Train yourself to grind long hours first. You will surprise yourself. The work naturally become higher quality, less distracted.
2/ Train yourself to go from 10 to 40 to 100 hours of focused work a week. I did this for months building an automated trading system from scratch. 5am-10pm 7days/week
99% of people need #WorkLifeBalance or whatever, and that's great. But I'm talking to the people on a mission.
3/ Do you really want something? Then really work. Half-assing doesn't get you anywhere. Don't look for "system hacks," or whatever, just do it. You first need the baseline mentality of going all in, or nothing else matters
4/ Once you have hard work, everything else follows. For example, If you're not working smart, you'll be frustrated. Imagine coding 15 hours and failing to build the feature you wanted. That negative feedback will teach you all you need.
5/ Another example: are you letting your health slip? You will literally not be able to sit straight for all these hours. But you need to, so your habits will adapt. 30 minutes a day of intense exercise. No more back pain.
6/ The list goes on. Only you know when you want something bad enough to do it. And by all means if you don't have the drive, don't push yourself to be miserable. But when you do find the mission, let it consume your life and embrace the grind.
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2/ Personally I love studying latency: it's concrete, less noisy than pnl, and forces you to look at the data. The seeds for full-blown strategies often come from tinkering with latency measurements.
Ok let's jump into #OKX. Same process here applies to all exchanges.
3/ First look at the docs and see what stands out. Each OKX API has two endpoints: AWS and AliCloud. This is weird. Do some googling: They launched AWS to make it easier for HFT firms to migrate their tech stack. Makes sense: we were tempted to just use AWS for simplicity.
1/ A picture is worth a thousand...ideas for a new HFT strategy in crypto?
Ever wonder how to go from raw market data to an automated strategy in crypto HFT? Here's an actual case study our team did.
2/ This graph is the BBO (i.e. price of highest bid and lowest offer) of BTCUSDT on #Binance, zoomed in. The y-axis is in USDT, with an arbitrary offset. The x-axis is time, around a 20ms range.
Standard stuff. But HFT is all about thinking deeply about simple things.
3/ Mysteries:
y-axis: that spread is tiny. One cent on BTCUSDT is... less than 0.01bps? What is this liquidity??
x-axis: When the offer ticks up the bid follows in... 3ms? If you've ever measured the round-trip order latency on AWS, you'll know it's never this fast.