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MrMuppet, you are absolutely right that the size of the opportunity I'm able to capture in XBTUSD with high probability is comparable to the taker fee. I was the biggest market maker at a mid-size crypto exchange for the last two years and consistently did over 10% of their daily volume. I...

I'm a professional ES trader, recently developed a strategy on Bitmex which is able to capture $7-8 moves on the XBTUSD on average with ~80% accuracy. I have over 1 year of backtest results as well as live automated trades. My problem is 2 x 7.5 bps taker fee (for market orders) eats up all the...