Market-Microstructure
execution quality audit: q1 slippage cost me more than i thought
·1496 words
2:30am wednesday. april 1st. no this is not a joke post.
been staring at execution data for the last three hours and i have a headache. Q1 closed basically flat — detailed numbers in the march wrap. but flat is flat, and when i dug into why flat, the answer wasn’t strategy failure. it was execution bleed.
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.