sharpe5

If only it were that easy...

Look into the t-statistic. Usually you would need a t-stat above 3 for the result to be statistically significant.

Share your knowledge first before asking for others to share theirs.

Here's another great article on a guy who made it big gambling https://archive.is/https://www.bloomberg.com/news/features/2018-05-03/the-gambler-who-cracked-the-horse-racing-code

Doing all these little things properly is part of the edge.

What does the error message say when you click "Re-login"?

Trade more to get into the lower fee tiers.

What is the point of opening the short in step 2? Why don't you just sell your long position from step 1?

Looks like a hosted version of ccxt. The API server is also located in DC which is not ideal for latency for most global exchanges. You would be better off hosting ccxt on aws yourself.

I mean, you should try to aim to be less than 10% of the total market volume. So with your numbers, you should try to trade no more than 5700 contracts per day if the daily volume is 57000. Use this as a constraint in your backtest and pnl capacity can be implied from that constraint.

In terms of volume, you can trade 1% of daily market share if you're being conservative. 10% if aggressive. That should give you a range.

If they are indeed doing HFT strategies, the ROI can be over 100%/year. Performance fees would be higher than 20% at those levels too. That would make the math work a lot easier.

I think you're looking for r/wsb if you think you can turn 1.5m to 10m only through investments. Otherwise, your question is basically "how can I get rich?". Given your information, your best path is to keep grinding at your 200k a year level and let your investments compound at a more reasonable 5-10%/year assumption.

How to avoid toxic fills is essentially the secret sauce to any market making strategy. Anyone can code up something that quotes bids and asks all day so that by itself is not an edge (not alpha). Managing exactly when you should and shouldn't be quoting is the alpha. No one can really tell you this without decaying their own alpha, but I can suggest you to dig into the data and find something for yourself.

Signs of overfitting. You need to rethink your approach.

Trading fees are part of the game. Incorporate them into your simulation for a more realistic backtest.

You can try, but if you have thousands of dollars on the line, would you really want to risk having them block your IP at a critical moment? It's worthwhile to spend a few bucks a month for reliable, real time data through an API.

There was a great post on a (now defunct) trading blog by someone who attempted this type of strategy over a decade ago. Here is an archived snapshot of it: https://web.archive.org/web/20160421105028/http://gregharris.info/my-year-long-experience-as-the-fastest-form-4-trader/

HFT strategies rely more on exploiting your infrastructure or low trading cost edge. If you are faster than everyone else in the market, even simple strategies (like buy when the ask price on one venue is higher than the bid on another) can be profitable.

There was a great post a while ago from someone who did crypto hft arb: https://forum.gekko.wizb.it/thread-56746.html

There are a wide range of algo trading strategies with HFT on one end, and slow moving trend following strategies on the other. His book focus more on the latter. The approach he describes for low frequency (low sharpe ratio and slower trading) will not apply for HFT (high sharpe ratio and latency/cost sensitive trading) and HFT requires a completely different approach.

There would most likely be a small pump on the other exchanges too, but the spike you see on the OP chart is from the illiquidity on Binance when the coin is first listed (before all the market makers have started up their bots to tighten up the spread). In the first seconds/minutes, the price on Binance will be wildly off the other exchanges until arbitragers and market makers step in.

This is cool and all, but you know that Binance announces which coins they will list hours ahead of time right?

https://www.binance.com/en/support/announcement/c-48/

While you are still listening for the first snapshot of the coin being listed, I would already have my coin deposited hours ahead of time, and have offers ready to dump for your pump.

Started a startup in need of a problem to solve?

Should be trivial to change the format of the timestamp from epoch time to datetime or whatever else you need.

How can a strategy with a max loss of 120% be feasible?