Bitmex XBTUSD strategy - looking for collaboration

[bmxtrdr]

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 profits. I can certainly enter with a limit order and exit with market but that would reduce the fill %.

I'm interested in talking to hedge funds or other traders who have access to a better fee structure at Bitmex or other venues to make this strategy feasible.

 

[MrMuppet]

Sorry to disappoint you, but just throw your backtest results into the waste bin. Why do you think the profit range is exactly 7-8$ Right, because the fees are currently 7-8$ per BTC and the maker/taker model prevents anyone from being a taker and arb those stale quotes away.
You backtested exactly this and now you want lower fees to make a profit...it's a fee arb, nothing more.


In addition Bitmex' problem is the aweful message queue and the shitty infrastructure, thus there is no way to control risk with bigger size.

The average crypto hedge fund is 5m$ and they all go for the low hanging fruit of structured derivatives trades and risk arbs.
So nobody will ever give you money for this.

 

[bmxtrdr]

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 thought about being a market maker at Bitmex using this directional signal and collect the rebates but I don't think that will fly because they are making their own market.

I don't know who reads these forums but I thought there might be someone out there who has a favorable fee structure, maybe at another exchange, that would make this a feasible strategy. I am not looking for someone to give me money, I have access to more capital than I can handle. I am looking for a collaboration.

 

[MrMuppet]

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 thought about being a market maker at Bitmex using this directional signal and collect the rebates but I don't think that will fly because they are making their own market.

I don't know who reads these forums but I thought there might be someone out there who has a favorable fee structure, maybe at another exchange, that would make this a feasible strategy. I am not looking for someone to give me money, I have access to more capital than I can handle. I am looking for a collaboration.

Alright, makes sense. Isn't there any other exchange you could work with? Bitmex isn't the only game in town anymore. FTX, Kraken and Deribit have nothing against another market maker and they also have a rebate scheme to lower your fees.

Bitmex is a money sink for retailers, not a level playing field for professional traders. Find yourself another exchange and you'll be good.