A Perfectly Symmetrically Delta-Neutral Market Maker

EDIT: Referral Program! https://medium.com/@jarettdunn/announcing-jares-foss-market-maker-referral-program-50-50-split-1761206cb215

Check out Coindex Lab’s symmetrically delta-neutral market making bot!

Great news! It’s available here: https://github.com/DunnCreativeSS/deribitBitmexMarketMaker_ByFunding

(please do sign up under my affiliate link, though!)

How is this fantastic?

Hey Deribit,

I did about $200k volume on BTC perp and futures last 24hrs on $70 balance.

and >$6million total.

my CEO has done $12m

We’re increasing our market maker first to $5k balance next week on a separate account, next pilot will be $150-$300k and then our first round of funding will be ~$50m (which should be a significant amount Deribit but also diversified a bit).

We’re wondering if we could negotiate a preferred fee rebate on top of the standard offer, to provide this kind of liquidity? Even a slight improvement on rebate would be exponential for us.

-Jarett
Chief Liquidity Officer
Coindex Labs

Also,

And this is just me talking out loud:

https://blog.deribit.com/partners/

We could certainly provide an endpoint, websocket or SaaS for market making signals if we were to arrange an agreement.

You can follow our livenet market maker on Ryan’s subaccount bot_POC on (redacted email) or here: http://jare.cloud:8080

How do we negotiate a partner status with Deribit, while we’re preparing to go live with our fund?

-Jarett
Chief Liquidity Officer
Coindex Labs

The bot checks funding rates on Deribit among perpetual and futures, and longs whichever pays the other. When longing or shorting perp and shorting or longing futures, it 4x the longs on perp in ordersize so that — effectually — at any point it should be near 0 total position. This effects a situation where upwards or downwards movement in market doesn’t affect the returns, and you effectively collect on fees + the convergence of your perp and futures in cash n carry arbitrage + the spread.

Isn’t that beautiful?

Originally published at https://jare.cloud on March 6, 2020.