Mogged Adverse Selectee

Quant | Crypto Market Making & Prop Trading

[Mogged Adverse Selectee @3am_backtest]

@MoonDevOnYT Overfitting final boss

[ltrd @ltrd_]

This article gives a good educational content regarding price discovery and lead-lag relationships. A couple of thoughts from my side:

1. Some of the numbers are correct, but a lot of are wrong mostly due to the fact that analyzing HFT data with 10/50/100ms windows is a bad idea.

2. Crypto is already very, very sophisticated in terms of the latency on the best exchanges, so the windows should be as small as possible in order to give you decent conclusions.

3. If you think that Binance does not lead Lighter on ETH (and that's the conclusion from the chart) then you cannot be further from truth.

4. Lighter does not lead Hyperliquid in any trading sense. You have this kind of chart only because of the matching engine differences, not the actual leading. It's all caused because from those 3 exchanges, most of the information comes from Binance and if execution is faster on Lighter then it will always be earlier than Hyperliquid even if this kind of information gives you nothing that you can monetize - it's no the methodology that you are interested in.

5. Assuming that Binance leads all the markets and you have exchange A in the same datacenter and exchange B in different, according to this methodology A will always lead B even if A is tier-5 zero-turnover exchange and B is Bybit. The numbers are ok, but the methodology is wrong if you think about price discovery from HFT perspective.

6. Peak-lead-lag analysis is good for educational purposes, but it's not what is measured or analyzed in HFT and it's not what you optimize you algorithms for.

7. In most cases Binance is way faster than it is on the graph (and a lot other exchanges are already much faster). The crypto has changed massively in that aspect in recent years.

8. Ligher impact on price discovery is negligable.

9. Final remark - the beauty of HFT is that the devil is in the details. If you want to make a proper analysis on such thing like price discovery in HFT perspective, the number of assumption that you need to test, the number of timestamps that you need to consider and the number of methods for noise filtering that you need to apply is tremendous.

@choffstein

[Peter Yang @petergyang]

It's pretty annoying that Codex uses agents.md and Claude Code uses Claude.md.

There should be some industry standards to this stuff?

[Mogged Adverse Selectee @3am_backtest]

@milesdeutscher There was a time your content was insightful, not its mostly quantlarp slop

[Mogged Adverse Selectee @3am_backtest]

@mmmatt @atmk44 Yeah, don’t know the exact date, but the head of institutional sales told me in an GSR event

Their new matching engine is ready, already on testing phase I believe

It has to do with the Deribit acquisition

[Mogged Adverse Selectee @3am_backtest]

@milesdeutscher Dude weren’t you chatting shi about not trusting Claude like 2 days ago?

[Mogged Adverse Selectee @3am_backtest]

@caseycathcart78 @thechosenberg This is my quant

[Arjun Tandon @iarjuntandon]

Retail traders: drawing trendlines on TradingView

Meanwhile Jane Street trading infrastructure:

[Mogged Adverse Selectee @3am_backtest]

@0xelevenquit @Brutalismus300 Top tier rage bait

[Mogged Adverse Selectee @3am_backtest]

@catalinmpit send it

[Mogged Adverse Selectee @3am_backtest]

@SamuelBeek @Londonmaxxing 🤝

[Mogged Adverse Selectee @3am_backtest]

@charliermarsh Oof

[Mogged Adverse Selectee @3am_backtest]

@malikules Bliss, let the clankers do all the work

[Mogged Adverse Selectee @3am_backtest]

@CryptoTomYT This da wae

[Neet @neet_sol]

"We locked 40 people in a room to work 40 hours a week for 40 years."

[Mogged Adverse Selectee @3am_backtest]

@PriyanshuP1405 Giga cooked

[Mogged Adverse Selectee @3am_backtest]

Imagine being the Creative Director of the Catholic Church

[Kate @ohdatskate]

he's not ghosting you, he's talking to claude

[Nick Khami @skeptrune]

visual metaphor for the CTO transitioning into a member of technical staff and 50x’ing all the existing ICs with AI