Today’s dump resulted in the biggest liquidation since 2021. I would like to present a microstructure view of this entire situation. As always, this thread is full of insights, charts, and comments.

Retweet if you enjoyed the analysis. Firstly, when discussing this kind of dump, we need to determine where the pressure was greatest. We observed something crazy—Coinbase traders began selling aggressively almost an hour before the mega dump.

Korea declared Martial Law. It was one of the most spectacular trading events I've ever witnessed in my trading career. I've prepared detailed explanations of what exactly happened in the market and why it was so different from any other event. If you enjoyed it, please retweet! BTC on Upbit was priced under $65k, while we saw almost $95k on Binance— $30k difference between Korea and the rest of the world. That was absolutely crazy. We observed big sell pressure, with almost $7mm more in sell orders than buy orders. The next plot is the most important.

🧵BTC vs. Polymarket @Polymarket analysis

As you can see on the plot, price action of BTC and TRUMP winning elections is pretty similar. Significant moves were seen both on BTC and TRUMP from around midnight UTC.
Let's deep dive a little bit more into the data.

#Election2024 It can be seen that in time of bigger volatility BTC was reacting much faster that polymarket. The time difference is of course much, much bigger than block time.

I've read and analyzed the book “Going Infinite” by Michael Lewis about SBF. I'll try to show you interesting quotes, problems, lies, and why the fundamental problem was that SBF was a complete chronic liar. I’ve worked on it for a few days and it'll be a big thread.
1/43 🧵 [2/43] I am going to split the topics into four parts: the book, SBF, FTX, and overall conclusions. All of the topics will be described with examples, quotes, and my own analysis and opinions.

[1/n] Friday’s night crash was very interesting because there was no big news at this moment and some of the instruments fell about 50% within two hours. I would like to break down the microstructure behaviors and do an overall analysis from that day. 🧵

#trading #cryptocrash Firstly, let’s take a look at the macroscopic view of the market. On the histogram, we can see the changes from the highest price to the lowest price within the first couple of hours of June 10th (UTC). Big moves around the whole crypto space.

[1] The hottest topic in the crypto universe last couple of days was $PEPE - a meme coin that went to top 40 coins and was the biggest meme surprise since SHIB in October 2021. How did the market look in the HFT data? Let’s see! 🧵🧵

#pepe #cryptocurrency #trading [2] I focus on CEX trading because there were more analyses related to the $PEPE and trading on DEXes, such as the great thread by @thiccythot_ which can bring you a lot of value in terms of understanding what happened on $PEPE. Highly recommended thread.

https://twitter.com/thiccythot_/status/1654775743577038848

A couple of days ago we had probably the most important listing this year - $ARB. It is the best possibility to understand the market because of the lack of perpetual swaps, withdrawals, and liquidity. Let’s take a look at it through the eyes of an HFT player.

#Arbitrum In the first minutes of the trading, there is absolutely Wild West in terms of the market microstructure. You do not have perps and withdrawals, so the capability of HFT players is limited and then you can see the purest form of trading.

A lot of (probably most) the crypto exchanges produce fake trades that count into the overall turnover in order to move the exchange up in volume rankings. How really famous exchanges do it? How we can see it?

🧵🧵🧵

#trading #cryptocurrency What do I mean by fake trade? It is a trade that you, as an other player in the market, cannot participate in, because it is an exchange's trade with itself. If you are not able to participate with this trade, it should not be included in the overall turnover.

Recently, I watch @LomahCrypto videos. What is visible, is that he almost always trades hot coins + BTC/ETH. What I wanted to check is if staying with top performers is typically good for you or not as a trader.
🧵I think the results with be insightful for everybody.🧵

#trading I divided my data into two periods:

- First 10 days of 2023
- Rest of 2023

Data consists of all the Binance Spot instruments with quote currency in USDT and BUSD.

🧵🧵Why it is more important to know when to trade than what to trade?

Recently, I heard from @LomahCrypto during his live that one of the greatest mistakes is to trade when you should not. I would like to prove statistically and by visualization, that it is truth.

#trading I created a simple portfolio:
- Choose one instrument randomly
- Choose when to open a position randomly
- Choose when to close the position randomly.

By doing that, I want to make sure that I do not interfere in choosing what I trade. We do not do anything special.

Last time my book recommendation had pretty good feedback. Today, I would like to encourage you to read probably the best book that I have ever read. It is Think Like A Rocket Scientist written by Ozan Varol. Even the first two words on the cover sentence (Simple Strategies...) resonated with me. It is the book for everybody, from traders, through entrepreneurs to researchers. Everybody can take a lot from reading this position.

Crypto influencers persuade people to invest in low marketcap coins. Here I would like to show you what happens when tweets like this show up on your timeline. It can be a disaster for you and the market. Do not let anybody be his exit liquidity. $FIDA

🧵🧵🧵 Firstly, I would like to say that I would not like to be anybody's enemy. I just spot strange things on the market and try to analyze them. I am here to educate you as well and make you a better trader. These behaviors are not appropriate, unfortunately.

Here we go:
#1: "This is a paradox. How can both sides think that they can out-smart the other? Someone must be wrong. Why do you think the other person is wrong, not you?" - an excellent quote about trading.

https://twitter.com/cdlmeow/status/1614128369406205952

#2: "Groucho Marx famously said that he did not care to belong to any club that would accept him as a member. For similar reasons, you might not want to take any bet that others offer" - reminds me of hiring only the people that are better than you, and adverse selection in hft.

I strongly recommend this book, as it is probably the best start in game theory, no matter if you want to use it in business or in theory only. Good introduction with examples to the most important basic topics: dominant strategies, Nash Equilibrium, mixed games etc. The truth is that you can use this type of thinking in almost every aspect of your life. I will focus slightly on trading. If you are a market maker you are always thinking about if you should update the price of your order or not. How will your competition react to your update?

10/10

Main Goal for 2023 and the reason why I am here.

Sometimes people are a bit confused about why I reveal my analyses, processes, and alphas. Everything has its own purpose and I would like to tell you why I do it and what is the goal for 2023 related to it. It will be an honest thread with a lot of details related to the reasons why I have created all of those things here on Twitter and what are my plans for the next months.

9/10 Road to become a better AlgoTrader.

A lot of people here try to be a good algo trader, but do not know how to start or how to switch from beginner to a more advanced player. I would like to share my view on this topic. Work on programming foundations. You will not be a good algo trader if you do not have solid skills related to one language (Python for example, although maybe you would like to use R). Without it, you will be stuck with ideas that you will not be able to check.

8/10 Study Outliers

I have written about it before, but I have learned a lot about market microstructure and whole trading by working on outliers, so I think it will be good if I emphasize the importance of doing it. A lot of times when you want to study some topic and understand how something works, you have to dig deep down into outliers. That is how you will find your first rules, your first edge cases, and the biggest risks.

7/10 Ask the right questions.

There is no more important thing when you do trading research than asking the right question. It is another thing that can sound trivial but is a key to being a good trader. We live in a time where you have tons of people that are really smart. You can work with the best programmers around the world and data scientists from the best universities in the World. Obtaining the answer is not a problem right now.

6/10 Keep Peak Performance

Currently, we have times when almost all of us have quite poor performance in terms of PnL. Only a fraction of us is profitable now. There is no more important time to maintain peak performance if you want to be the best. I always say to my team that if there is high volatility, the team has great leverage and the difference in PnL between their good and bad performance is huge. If there is no volatility, it does not matter if they will do their best or if they just do fundamental things well.

4/10 Doing simple things right

I have already talked a bit about it before, but I cannot stress how important it is to keep most things simple and just do it right. It is an excellent time to review the things where you can apply those rules. The first thing is just trading. You should not focus on some complicated stuff like machine learning models. Just find simple relations between events or instruments. Find models that tell you how surprising is that PHB pumped 10% in last 15 minutes without news and SNM not.

4/10 Journaling

I have always thought that journaling is overrated. A lot of great people wrote about journaling and a huge number of traders said that it is a key to success as a trader, but I could not believe it. I was wrong. Even if I am not a manual trader that writes mostly about recent trades, I think that for algo traders the journal is as important as for the manual trader. You have to just know what to do.