Greetings, Ladies and Gentlemen! Hope that you had a great breakfast/lunch/dinner. In recent years with the proliferation of decentralized exchanges (DEXs), a new type of arbitrage has emerged and the community named it “sandwich arbitrage”. An interesting question triggered our thoughts long time ago: Can the same type of arbitrage…

Greetings, Ladies and Gentlemen! The digital asset industry is having an unprecedented tsunami for obvious reasons. The sudden collapse of FTX underlines how important it is for any investor to learn about the risks they might be taking from all angles. As an old Chinese proverb echoes: be prepared for…

Greetings, Ladies and Gentlemen! Welcome back. It’s been a long journey since we first created ccapi, the open source C++ library for interacting with crypto exchanges. Time flies and three years have passed. During this period of time, we’ve learned a lot. In particular, we’ve learned how a minuscule detail…

Greetings, Ladies and Gentlemen! Glad to see you again. As mentioned in our previous article entitled “Atomic Arbitrage: A Quantitative Study”, we have been performing comprehensive experiments in the battlefield of live trading for the past couple of months and encountered a lot of interesting phenomena and problems. Very frequently…

Greetings, Ladies and Gentlemen! Welcome back. Hope you are doing well in this crypto winter. As mentioned in our previous article entitled “Atomic Arbitrage: A Quantitative Study”, we have been performing comprehensive experiments in the battlefield of live trading for the past couple of months and encountered a lot of…

Greetings, Ladies and Gentlemen! We are so glad to meet you again. It has been a long time since the last time we wrote on medium. We have been working very hard on the development of our library ccapi (https://github.com/crypto-chassis/ccapi) and our data service (https://github.com/crypto-chassis/cryptochassis-data-api-docs). We hope that our hard…

In one of our previous articles entitled “Single Order Execution: The Traps of A Careless TWAP”, we conducted a comprehensive analysis on one of the most commonly used single order execution algorithms i.e. TWAP. The specific focus of that discussion was on the potential pitfalls hidden in a carelessly constructed…

Greetings! Welcome back to the Chassis publication series. In the past several months we have put our discussions on the heavy focus of high frequency market making. Starting today we will shift gears a little bit and write several articles about a new topic that hasn’t been frequently and adequately…

Greetings, everyone! In several of our previous publications, we discussed in deep the technical details about the process of paper trading and backtesting a trading strategy in a high frequency context. In particular, we highlighted the order matching methodologies that were used in our market making application in the article…