Stat Arb
@quant_arb
MFT & HFT | Views my own. Not financial advice.
参加 November 2019
1.6K フォロー中 70.5K ファン
Some tips on how not to be an idiot with execution like Alameda:
...
I remember hearing from multiple ppl (who had used them) that Alameda's execution desk wouldn't even randomize the order sizes/frequency, just lobbing equally sized clips at regular intervals.
No attempt at hiding flow/matching liquidity.
The ironic part was that there wasn't much to indicate people were detecting them even despite the fact that their execution was worse than a standard VWAP algo.
Looking back, this was an early warning sign, but all I could think was, "hahaha I'm going to front-run these losers"
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