Short-form notes on crypto-derivatives microstructure.
Measurement first; opinion second. These are internal notes cleaned up for publication — honest about what we looked at, what we found, and what we did not measure. Written for practitioners.
- 7 min readMethodologyMicrostructure
The bar-coarsening discriminator: when a Sharpe of 3 is just stale closes
A reversion edge that looks clean on hourly bars and evaporates on daily bars was never reversion — it was bid-ask bounce in the close. The cheapest test we have for telling the two apart, and the candidates it has killed.
Read → - 7 min readEconomicsPerpetuals
Zero fees don't make alpha: a cost-floor experiment on a 0% perp DEX
If your edges die net of fees, a zero-fee venue should resurrect them. We ran that test on a 0% maker/taker DEX. Nothing came back — because the fee was never what killed them.
Read → - 6 min readMicrostructurePerpetuals
Mark is not mid: the oracle-gap trap in builder-perp dispersion
Two HIP-3 builders list the same underlying 44 bps apart on the mark — and 3 bps apart on the executable mid. A note on why a dispersion screen built on mark price finds opportunities that aren't there.
Read → - 7 min readExecutionMicrostructure
Markout vs rebate: what your fills actually pay
On a tick-floored book, post-fill markout dominates the maker rebate by an order of magnitude. A 21-hour, 544-fill measurement on OKX SUI-USDT perp.
Read → - 7 min readMicrostructureExecution
The cancel-race: a measurable adverse-selection mechanism
Resting quotes that fill in the last fraction of a second before a tick move are systematically toxic. A short note on detection, mitigation, and the engineering pitfall in the middle.
Read → - 6 min readExecutionMicrostructure
Regime exposure as a session-diagnostic primitive
A simple bucketing pattern that turns “the session lost money” into “the session spent 33% of its minutes in HOLD_ALL and 14% in BOTH.”
Read → - 6 min readMicrostructurePerpetuals
OKX perp funding: settled, predicted, and the field nobody reads
Three numbers that all get called "the funding rate," plus the OKX API field that costs you a working countdown if you read it wrong.
Read → - 5 min readExecution
Sample-size discipline in trading-system telemetry
Four labels — anecdote, hypothesis, directional, trustworthy — and the question of when a measurement is allowed to drive a config change.
Read → - 10 min readLatencyMicrostructure
Cross-venue L1 latency: Singapore, US-East, US-West
What a five-minute, three-region measurement across eleven venues says about cross-reference feed selection for a perp-DEX market-making operation.
Read → - 8 min readExecutionPerpetuals
Perp DEX spread feasibility: tick-floor microstructure across three venues
L1 spread measurements on Aster, GRVT, and Bluefin, and the difference between a venue where retail market making is economically possible and one where it isn't.
Read → - 7 min readEconomicsPerpetuals
Retail market making economics on modern perp DEXs
Why modern perp DEXs are structurally engineered to tax API market makers, and what that means for retail-scale operators.
Read →
Published pieces are redacted of strategy-sensitive detail.
Ask directly if you want the underlying methodology discussed.