Order execution strategies for delta neutral crypto trading on FTX
I set up a trading bot to test different methods of getting in and out of a delta neutral position as cost effectively as possible.
Full blog post with more details at: https://jamesbachini.com/order-execution-strategy/
Trade in and out of a delta neutral position for 0.02 Bitcoin divided up in to 40 batches.
Starting balance for each sub account was $1000
Rotated in and out of position three times over an 18 hour period on the 24-25th May 2021
S1 - Market Orders Account Value: $993.23 - Average Batch Time: 3.3 secs
S2 - Limit Future, Market Spot Account Value: $997.65 - Average Batch Time: 25.6 secs
S3 - Balanced Limit Orders Account Value: $999.24 - Average Batch Time: 26.5 secs
S4 - Market Maker Account Value: $998.80 - Average Batch Time: 169.9 secs
S5 - Cross Chain Moving Average Account Value: $1000.30 - Average Batch Time: 47.3 secs