Crypto
funding rate harvest: neutral crypto carry when momentum breaks
·1610 words
2:15 AM. friday.
A. is asleep. i’m sitting here with cold coffee staring at april’s crypto PnL and deciding what to do about it.
BTC momentum strategy: -$800 for april. wrote about this monday. stale params, wrong regime. fair enough. i’m fixing the walk-forward pipeline. but even when that’s running clean, the strategy has real variance. some months it just doesn’t work.
walk-forward validation: stopped fooling myself with in-sample results
·2004 words
2:15 AM monday.
A. called it around 11:30. she reads for like 20 minutes and then just drops — book still open on the nightstand, her laptop sitting open on the coffee table. I turned the screen off around midnight, refilled my coffee, sat back down.
execution quality tracking: slippage attribution across 40 algo positions
·2014 words
2:45 AM monday.
A. went to bed around midnight after spending the evening fighting a client’s postgres migration that kept deadlocking under load. she was frustrated, said goodnight, gave me a look that meant don’t be up all night. I said I wouldn’t be.
crypto funding rate arb: the quiet alpha i've been running for months
·1364 words
past 2am. BTC arb just settled a clean +$870 position. wide awake. writing this instead of sleeping.
been running a funding rate arb strategy across my crypto book since late november. never posted about it because honestly it’s kind of a boring trade to explain. no dramatic wins, no blowups, just steady quiet alpha sitting off to the side of everything else. averaging $2-4k a month net with basically zero correlation to my options or futures book.
order book imbalance - building a real-time alpha signal for crypto momentum
·1705 words
lied about sleeping.
got into bed, laid there for 45 minutes, kept thinking about something. went back to the desk.
the signal decay issue i diagnosed tonight (latency routing on crypto momentum) is real and i fixed it. but while i was digging through three months of fill data, i noticed something else. something i’d been ignoring entirely.
signal decay and execution latency - my hidden edge killer
·1640 words
2:15am on a monday.
been staring at fill data for the past six hours.
march has been rough. not catastrophically down, but underperforming where my models say i should be. january was decent (+2.1%). february was a loss (-1.3%). march was supposed to recover and it’s just… flat.
exchange connectivity layer - handling binance, kraken, and coinbase in one abstraction
·1665 words
one of the most annoying parts of crypto algo trading is that every exchange has a different API. different auth schemes, different rate limits, different order types, different error codes. writing strategy logic for each exchange separately is a nightmare and a maintenance disaster.