Overview
Active market maker on Hyperliquid (DeFi LBO), developing proprietary quantitative strategies in digital asset markets. This project represents a full production trading system with research, backtesting, and live execution components.
Period: Aug 2024 – Jul 2025
Organization: MYR - Private Investment Fund
Role: Quantitative Researcher
Key Features
Market Microstructure Analysis
- Designed and deployed short-horizon market-making strategies using L1/L2/L3 order book data
- Implemented microprice signals and order book imbalance indicators
- Modeled FIFO queue dynamics to optimize execution probability and spread capture
- Covered 12 liquid crypto order books simultaneously
Alpha Generation
- Developed microstructure-driven alpha signals from:
- Depth imbalance
- Order flow autocorrelation
- Spread dynamics
- Event-time backtesting on 5+ years of tick-level data
- Continuous signal robustness monitoring and improvement
Risk Management & Execution
- Implemented inventory risk control inspired by the Avellaneda–Stoikov framework
- Built low-latency execution systems with <100ms response time
- Optimized quote refresh logic and queue positioning
- Mitigated adverse selection through intelligent order placement
Stochastic Modeling
- Modeled limit order book event arrivals using stochastic intensity frameworks
- Poisson-type modeling for limit/market/cancel order flows
- Estimated short-term price pressure and fill probabilities
- Analyzed competing algorithmic trader behavior
Technical Stack
- Programming: Python
- Data Processing: NumPy, Pandas
- APIs: REST and WebSocket for real-time market data
- Infrastructure: Linux-based execution environment
- Backtesting: Custom event-time backtesting framework
Results
- Successfully deployed and maintained market-making strategies in production
- Processed and analyzed 5+ years of tick-level data across multiple assets
- Achieved <100ms execution latency for optimal market responsiveness
- Developed robust alpha signals validated through extensive backtesting
Key Learnings
- Microstructure matters: Deep understanding of order book dynamics is essential for high-frequency strategies
- Latency optimization: Every millisecond counts in competitive market-making environments
- Risk management: Inventory control and adverse selection mitigation are critical for profitability
- Robustness: Strategies must be validated across different market regimes and conditions
Links