jeff.hl Profile picture
Apr 5 7 tweets 2 min read Twitter logo Read on Twitter
1/ Huge respect for Dragonfly continuing to invest in the bear market.

But I'm morally obliged to call out sketchy projects gaining momentum.

As a community we must preempt large scale implosions like #FTX or #LUNA that set the industry back years

Bitget may be the next FTX 🧵
2/ About half a year ago we tried HFT on Bitget and quickly noticed their matching engine is dishonest. I'll give specific examples later in the thread.

I later learned from an ex-Bitget team member that they handled retail taker flow by just B-Booking through an internal desk.
3/ This is way worse than the usual allegations of CEXs having an internal MM desk.

Masquerading as an order book exchange to your customers while you secretly use a different structure behind the scenes is unequivocally unethical. It's probably illegal in any jurisdiction.
4/ Furthermore, the motivation behind this dishonesty was profits. Retail flow, especially with copy trading amplifying the swings, is hugely profitable to trade against.

Bitget did not onboard external MMs for a long time because they were profiting from the flow themselves.
5/ How am I confident this happened?

A simple example: we would have an order out on the top of the book, and literally see trades executing at farther prices while our order chilled there. Anyone looking at the UI could've seen this at the time.
6/ I don't know if they've cleaned up their act since then, because we immediately ceased all operations on the exchange once we saw the sketchy behavior.

Even if it's better now, the ethical concerns still stand. I wouldn't touch the exchange with a 10 foot pole.
7/ A project that thinks this is an acceptable way to run an exchange should not be getting more funding to expand.

This is hard to see as an investor, so it's especially important that traders with first hand experience keep exchanges honest.

The crypto space deserves better!

• • •

Missing some Tweet in this thread? You can try to force a refresh
 

Keep Current with jeff.hl

jeff.hl Profile picture

Stay in touch and get notified when new unrolls are available from this author!

Read all threads

This Thread may be Removed Anytime!

PDF

Twitter may remove this content at anytime! Save it as PDF for later use!

Try unrolling a thread yourself!

how to unroll video
  1. Follow @ThreadReaderApp to mention us!

  2. From a Twitter thread mention us with a keyword "unroll"
@threadreaderapp unroll

Practice here first or read more on our help page!

More from @chameleon_jeff

Apr 5
1/ Many of you caught on to the April fools trolling here. But the real prank is that I was 80% serious.

In fact, both of these "jokes" are based on real effects.

A thread on real alpha: How to circumvent margin checks on Binance futures and see counterparties on trades 🧵
2/ Let's start with Binance. The coveted "nl" flag is, alas, a joke.

However, the portfolio margin program has the same effect!

Instead of doing margin checks on every trade, Binance will trust you and do the risk checks client side. It's effectively how tradfi futures work.
3/ If you benchmark the order entry, you will see the latency decrease from hitting the matching engine directly.

This is a moat for newcomers trying to compete on the most latency sensitive strategies, as there are volume prerequisites before you can enable portfolio margin
Read 7 tweets
Apr 3
1/ Agreed. There is some value to guaranteeing quotes in case MMs are slow to turn on trading for a new listing. But figures I’ve seen for payment are orders of magnitude too high for the MM's risk

Projects are getting scammed by trading firms

A thread on MM for new listings🧵 Image
2/ Disclaimer: we have never accepted tokens or call options to "be the MM." We just run our usual strategies.

A big part of the problem is MMs inflating the difficulty of their job. It’s a lucrative business to rip off new token projects. Some firms have killed it in this niche
3/ For context, we often do double digit % market share seconds after listing with some light tuning of our usual strategies.

If we specialized in new listings, we could easily do "designated market maker" level market share without getting paid extra.
Read 10 tweets
Apr 1
1/ Many of you have asked for specific latency tricks on different exchanges, since infrastructure optimization is the foundation of a profitable crypto HFT strategy.

Here are some lesser known insights: filtering retail flow on Upbit and bypassing the risk engine on Binance 🧵
2/ First up is the counterparty feed trick on Upbit. It's my favorite way to understand autocorrelated retail flow.

Though this trick is not technically related to decreasing latency, it comes from a similar source of deeply understanding the exchange technology stack.
3/ Upbit labels trades with "sequential_id". The last two digits of this number are the fee tiers of the maker and taker respectively.

Fee tiers are strongly correlated with sophistication of the account. And as we know, retail flow is one of the best inputs for quant signals.
Read 7 tweets
Mar 30
1/ A question I've been getting a lot: which exchange should I trade on when starting crypto HFT?

Here's a thread of some famous exchanges and our findings running quant strategies there.

The good, the bad, the ugly, and the rigged 🧵
2/ Disclaimer: This is just our experience and not an endorsement of any of these exchanges. I'm an investor in some of these exchanges, but was not paid to write any of this.
3/ First up, Binance: Not much to be said. If you want to trade at scale, start here. If your strategy works on Binance, it has a great chance of generalizing to other exchanges

Binance is well run despite allegations and lack of regulatory clarity. Volume speaks for itself
Read 17 tweets
Mar 29
1/ Since Binance got hit by the CFTC suit a day after this thread, figured I'd do a timely spicy take here.

Crypto, especially dexes, are an opportunity to rethink markets from first principles.

Let's play devil's advocate here: what are the actual negative effects of spoofing?
2/ Again, I'm not a lawyer, just an opinionated HFT trader and builder. I do not endorse or encourage market manipulation, especially when it is illegal!

Also a note: we'll focus on spoofing but there is a whole class of similar "strategies."
3/ Suppose there are no laws yet and you're running an order book exchange.

One day the takers come to you and complain that someone is tricking them into buying high and selling low.

They argue these are fake orders messing with their alpha, and this should not be allowed.
Read 11 tweets
Mar 26
1/ One critical aspect of crypto HFT is protecting your strategy from "market manipulation." These people make a living tricking automated strategies to extract profits

For example here's an algo getting wrecked by a spoofer on a large exchange. A thread on what's going on🧵
2/ Disclaimer: I'm not passing judgment on these actions. I'm not a securities lawyer.

This is just a fact of life that we had to protect ourselves against with when scaling up our strategies.

It's the wild west out there and this is a part of the PvP game
3/ Ok so what's going on in that graph? This is some altcoin seesawing in a massive 10% range over the course of minutes on millions of dollars of volume.

No way this is organic flow. It takes some first hand experience to know that this is an automated strategy getting tricked.
Read 12 tweets

Did Thread Reader help you today?

Support us! We are indie developers!


This site is made by just two indie developers on a laptop doing marketing, support and development! Read more about the story.

Become a Premium Member ($3/month or $30/year) and get exclusive features!

Become Premium

Don't want to be a Premium member but still want to support us?

Make a small donation by buying us coffee ($5) or help with server cost ($10)

Donate via Paypal

Or Donate anonymously using crypto!

Ethereum

0xfe58350B80634f60Fa6Dc149a72b4DFbc17D341E copy

Bitcoin

3ATGMxNzCUFzxpMCHL5sWSt4DVtS8UqXpi copy

Thank you for your support!

Follow Us on Twitter!

:(