聊天记录
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Your first point is fair, it is even better than forecasting 🙂
2nd point, I saw buys and sells in clusters, they are 10-20 seconds apart. Not sure about this.
last point, I dont think vol calculation matters that much though, adds complexity.
Others(private rpc or taker delay bypass) I have no idea
Your first point is fair, it is even better than forecasting 🙂
2nd point, I saw buys and sells in clusters, they are 10-20 seconds apart. Not sure about this.
last point, I dont think vol calculation matters that much though, adds complexity.
Others(private rpc or taker delay bypass) I have no idea
On bonereaper: I checked a few markets and some of his trades. He uses both maker and taker orders, sizes around $5-50, total max pos size around $400-500, at least for the ones I looked at.
On latency: there are companies that provide fast lines from TK to LN, cutting it to half of what you get over public. Needless to say, they are expensive. You could even go microwave to shave off another few ms.
Modelling/guessing the chainlink ref price is much more interesting. Say you have the fastest feed for TOB from Binance. What are you gonna do with it? My observation is that Chainlink prices track USD more closely, and since USDT/USD has been 10-20 bps off par lately, how do you plan to model that? Or maybe use Coinbase directly? Again, assume you have Coinbase Direct Market Data, then what? Chainlink doesnt follow Coinbase either. Some combinations of Binance and Coinbase, or other exchanges too?
On BSM: I dont get why people hate BSM. As long as you know its assumptions and weaknesses, it is fine. It is a pretty neat closed form formula. What is the better alternative? Other numerical approaches, dont they converge to BSM anyway? The beauty of the formula is that it gives you a benhchmark. Get a rough vol number; calculate realized volatility, bump it up a bit for the implied version, plug it into the formula, and you get a rough idea of the market maker's spot price if you are interested.
Btw when the big guys come into, maybe they already have, they are going to take all the juice. TWAP wont help either. There needs to be randomness embedded in the contract, eg random sampling in the resolution.
On bonereaper: I checked a few markets and some of his trades. He uses both maker and taker orders, sizes around $5-50, total max pos size around $400-500, at least for the ones I looked at.
On latency: there are companies that provide fast lines from TK to LN, cutting it to half of what you get over public. Needless to say, they are expensive. You could even go microwave to shave off another few ms.
Modelling/guessing the chainlink ref price is much more interesting. Say you have the fastest feed for TOB from Binance. What are you gonna do with it? My observation is that Chainlink prices track USD more closely, and since USDT/USD has been 10-20 bps off par lately, how do you plan to model that? Or maybe use Coinbase directly? Again, assume you have Coinbase Direct Market Data, then what? Chainlink doesnt follow Coinbase either. Some combinations of Binance and Coinbase, or other exchanges too?
On BSM: I dont get why people hate BSM. As long as you know its assumptions and weaknesses, it is fine. It is a pretty neat closed form formula. What is the better alternative? Other numerical approaches, dont they converge to BSM anyway? The beauty of the formula is that it gives you a benhchmark. Get a rough vol number; calculate realized volatility, bump it up a bit for the implied version, plug it into the formula, and you get a rough idea of the market maker's spot price if you are interested.
Btw when the big guys come into, maybe they already have, they are going to take all the juice. TWAP wont help either. There needs to be randomness embedded in the contract, eg random sampling in the resolution.
Polymarket