PropArc

[Lou @louisregis]

Better rules are coming soon to @ProprXYZ.

My approach has always been risk-first. The prop industry, is mostly unsustainable: new entrants soften the rules, traders come to expect more, and it becomes a race to the bottom. Propr will never have the "best" rules, because the best rules aren't survivable.

Internally, in close to real-time, we Monte Carlo n+ parameter configurations against trader cohorts, factoring in our hedging, then look at the full distribution, expected firm PnL, payout liability, and the tail (CVaR on our exposure). A rule that's "good" on average but blows out the tail doesn't pass. We will eventually open-source our risk models.

You'll see plenty of firms that have better rules. The question nobody asks: are those rules sustainable for the firm? A firm built to back real traders has to keep finding models that hold up for both sides.

I've spoken with the top leaders in the industry over the last few weeks, and the landscape is grim. Some are scrambling for credit facilities.

From day one, I've said the same thing: we'll be fair to the firm, exactly as we're fair to traders. If a firm loosens its rules, we won't follow when our risk models break in the tail. If a firm cuts pricing, we won't follow there either.

The good news: as more firms become transparent and move on-chain, we'll all get real data on what actually works for both parties. Any firm paying out more than it earns, net of hedging (B-book hedge + A-book profit), is unsustainable.

However, in our V1, none of this will matter yet. Liquidity must flow

[PropArc @PropArcXYZ]

@ProprXYZ @louisregis

A grant proposal for PropArc, an evaluation and deployment layer for algorithmic trading strategies on Propr.

https://t.co/zdzwgMhEbP

[PropArc @PropArcXYZ]

@ProprXYZ @louisregis

A grant proposal for PropArc, an evaluation and deployment layer for algorithmic trading strategies on Propr.

https://t.co/zdzwgMhEbP

[PropArc @PropArcXYZ]

@Pluto_0x Aztec?

[PropArc @PropArcXYZ]

@MurugarajSpace @GoshawkTrades Building Winning Algorithmic Trading Systems by Kevin J. Davey