Traded $1m CAD in 5 hours: Porting a Bot to Binance Futures Market Making Competition

Introduction

Yesterday, Binance announced a Market Maker Competition for their new Futures platform. Included in the competition is $0 Market Maker fees, and a prize pool of $hundreds thousands USDT.

My Plan

I ported Deribit's Python Example Market Maker to Binance Futures, using CCXT to connect the API.

Issues

I can't seem to edit my orders, so every bot run I cancel all the orders (by looping through open orders..) slowing down the bot considerably.

Findings

In total, in 5ish hours I traded over 80 BTC notional - almost $1m CAD. I lost about $90 USD in fees, and lost about $150 of my deposit.

Note that I deposited $250 USD, and traded $1m CAD. That's about $3.37m USD per 24 hours, projected.

Over the last 100 trades, since optimizing the params as best as my human mind can achieve, there's been a timespan of 10 minutes.

In this 10 minutes, I've traded more than 1 BTC notional, made $0.613 realized gains and paid $1.285 in fees.

Tomorrow

When I'm accepted into the Market Maker program, and pay $0 market maker fees, my bot will achieve about 3.6% return on equity per hour. It will trade more than $3m USD notional per day. Moreover, my work Coindex will fund an account with more equity and we'll trade even more than that - and optimize the bot for the evolving market using our proprietary AI.

Next Steps

My work, Coindex, will plug in the input variables into their Neural Evolutionary AI in order to optimize this bot even further.

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(Disclaimer: The Author is the Chief Liquidity Officer at Coindex)