Flirting with Models

Jeff Yan - High Frequency Crypto Market Making & the Hyperliquid Exchange (S6E2)

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May 8, 2023
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ADVICE

Making vs. Taking

  • Choose between market making and market taking based on your research inclination.
  • Market making is infrastructure-heavy, while taking relies more on statistical models.
INSIGHT

Taker vs. Maker Expectations

  • Takers anticipate market movement in their trade direction, crossing the bid-ask spread.
  • Makers hope for market stability, profiting from spread between buy and sell orders.
ADVICE

Importance of Data Analysis

  • Spend significant time examining raw exchange data, including timestamps, for anomalies.
  • Direct data observation is crucial, as automated cleaning processes are never perfect.
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