How to prepare quant trading interview
quantitative reasoning testWith the idea being, they can teach how the markets work, but they cannot teach how to think.code parthttps://medium.com/@camdenko/quant-trader-intern-interview-guide-for-beginners-pt-1-background-2c8442bbfccfExperienceAlgorithmic Trader - DeFi at Wintermutehttps://twitter.com/emgurevich/status/1379333986921672710?lang=en 8 trader assessment batches, about 200 pre-qualified candidates completed screening tests, 40 people did our assessment center and 2 got hired Int...
Micro Price
定义micro pricea limit of expected future mid-prices, conditional on the current mid-price and imbalance以当前的中间价格，价差和订单簿不平衡为条件，对未来预期的中间价格进行限制。结论1s mid-price change 和 order book imbalance 成正比daily consistent, hourly consistent，但是adjustment 和当阶段的波动性相关spread seems not a good driving factor for mid-price changeVery important to select the right K样本内和样本外表现很好，consistency2个改变symmetry the micro price adjustment ==> v[0] = - v[-1]v[middle] = 0实现核心逻辑：不同区间的 order book imbalance，对应不同区间的 mid-price adjustment...
How to prepare quant trading interview
quantitative reasoning testWith the idea being, they can teach how the markets work, but they cannot teach how to think.code parthttps://medium.com/@camdenko/quant-trader-intern-interview-guide-for-beginners-pt-1-background-2c8442bbfccfExperienceAlgorithmic Trader - DeFi at Wintermutehttps://twitter.com/emgurevich/status/1379333986921672710?lang=en 8 trader assessment batches, about 200 pre-qualified candidates completed screening tests, 40 people did our assessment center and 2 got hired Int...
Micro Price
定义micro pricea limit of expected future mid-prices, conditional on the current mid-price and imbalance以当前的中间价格，价差和订单簿不平衡为条件，对未来预期的中间价格进行限制。结论1s mid-price change 和 order book imbalance 成正比daily consistent, hourly consistent，但是adjustment 和当阶段的波动性相关spread seems not a good driving factor for mid-price changeVery important to select the right K样本内和样本外表现很好，consistency2个改变symmetry the micro price adjustment ==> v[0] = - v[-1]v[middle] = 0实现核心逻辑：不同区间的 order book imbalance，对应不同区间的 mid-price adjustment...
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此文介绍Solana生态上的项目-- DeFi 相关
01 资费套利，做市
Francium 杠杆质押挖矿，SOL-USDT 100%, USDC-UST 15%
需要翻墙才能交易
日成交量100k~500k usd, 未平仓 300k usd
taker 手续费7%%, maker 手续费0
gas fee 0.000005 sol ==> 0.0005 USD，可忽略不计
可开杠杆，资金费率高，价差比较大
做市 ==> spread 千1，单次成交赚万5，如果能做到成交量20%，日利润10~50 usd
资费套利 ==> 去其他中心化交易所合约对冲SOL，年化
怎么做funding rate arbitrage -- TypeScript Arbitrage Bot examples for 01
https://github.com/01protocol/zo-arb
SQUOL ==> squared sol ==> power perpetual on 01.XYZ
Decentralized yield strategy aggregator built on Solana.
Leveraged Yield Farming 杠杆质押挖矿
不同borrow assets to performance 的 影响
比如 SOL-USDC LP，3X杠杆
借SOL还SOL，有short SOL的 exposure，SOL下降赚钱
借USDC还USDC，有long SOL的exposure, SOL 上升赚钱
Pseudo-Delta Neutral Hedging Strategy ==> 对冲市场中性策略
https://francium-defi.medium.com/francium-explained-what-is-leveraged-yield-farming-lyf-5a203a0d649
https://francium.io/app/calculator
去中心化基于订单簿的交易引擎
https://projectserum.medium.com/an-ultimate-vision-for-serum-473a16e77201
质押借贷，返代币
此文介绍Solana生态上的项目-- DeFi 相关
01 资费套利，做市
Francium 杠杆质押挖矿，SOL-USDT 100%, USDC-UST 15%
需要翻墙才能交易
日成交量100k~500k usd, 未平仓 300k usd
taker 手续费7%%, maker 手续费0
gas fee 0.000005 sol ==> 0.0005 USD，可忽略不计
可开杠杆，资金费率高，价差比较大
做市 ==> spread 千1，单次成交赚万5，如果能做到成交量20%，日利润10~50 usd
资费套利 ==> 去其他中心化交易所合约对冲SOL，年化
怎么做funding rate arbitrage -- TypeScript Arbitrage Bot examples for 01
https://github.com/01protocol/zo-arb
SQUOL ==> squared sol ==> power perpetual on 01.XYZ
Decentralized yield strategy aggregator built on Solana.
Leveraged Yield Farming 杠杆质押挖矿
不同borrow assets to performance 的 影响
比如 SOL-USDC LP，3X杠杆
借SOL还SOL，有short SOL的 exposure，SOL下降赚钱
借USDC还USDC，有long SOL的exposure, SOL 上升赚钱
Pseudo-Delta Neutral Hedging Strategy ==> 对冲市场中性策略
https://francium-defi.medium.com/francium-explained-what-is-leveraged-yield-farming-lyf-5a203a0d649
https://francium.io/app/calculator
去中心化基于订单簿的交易引擎
https://projectserum.medium.com/an-ultimate-vision-for-serum-473a16e77201
质押借贷，返代币
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