zetamarkets/sdk

Market Making Bot

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Deleted user commented

Market Making Bot

Bounty Description

A market making bot leveraging the Zeta SDK that is able to provide quotes for multiple dated futures and effectively manage risk.

3 tiers of completion

Tier 1

A futures market maker that is able to interact with the Zeta orderbook and base trade, i.e. manage its own risk and quote around the orderbook midpoint (excluding its own orders).

  • Should be able to quote all futures on the Zeta platform
  • Should be aware of margin obligations and be able to scale quote sizes depending on potential margin usage
  • Should look to use cancel-replace methods found in the Zeta SDK to maximise market making uptime.
  • Should be able to have variable levels on book with multiple orders on each side.
  • Should lean its quotes when taking on excessive risk either long/short
  • Should have a maximum delta exposure threshold in which quotes become only one-sided, or the market maker sends a taker order to close partial / all of its position.
  • Should have a basic level of logging for all parameters and all orders / trades which the market maker took on. Writing to disk is fine here.

Tier 2

An expiratory futures market maker that is able to interact with the Zeta orderbook and lean its quotes based on a mix of price feeds in addition to the midpoint of the existing orderbook.

  • Should have all the functionality in market maker (1)
  • Should be able to subscribe to FTX / Binance spot orderbook feeds (for the perpetual and the spot product).
  • Should be able to price a future on Zeta as F = Se^(rt) where r is maintained internally
  • Should be able to price a fair based on a blend of the futures pricing using FTX/Binance spot feed and Zeta Markets mids
  • Should lean its quotes and retreat the "r" parameter when taking on excessive risk either long/short
  • Should be able to consider aggregate risks across multiple futures of different expiries

Tier 3

An expiratory futures market maker that has the ability to hedge its risk on other venues

  • Should have all the functionality in market makers (1) and (2)
  • Should be able to look at multiple venues across DeFi and CeFi (Mango Markets perpetual, FTX perpetual) and be able to programatically hedge on the venue with the best bid/ask if there is a hedge to be made).
  • [BONUS] Should have the ability to perform atomic arbitrage across DeFi venues (once FOK is implemented on Zeta)
  • [BONUS] Should be ablet to programatically rebalance across multiple protocols as well as CeFi exchanges (i.e. recognise margin across the Zeta protocol and FTX / Mango and withdraw + send spl-usdc to deposit on either venue.)
  • [BONUS] Should be able to market make across both the Mango perpetuals platform as well as the Zeta dated futures platform using a blended fair of the mango midpoint as well as the Zeta midpoint (inclusive of the basis pricing).

Requirements

  • At all times each tier of completion should be submitted with a verified trading log for at least 48 hours, quoting at least 30 lots on each side.
  • Github repo (the cleaner the better!)

Criteria

We will look at:

  • Quality of the github repo
  • Implementation of the market maker with regards to tiers

Deadline

  • All submissions will reviewed by 01/03/2022 - any submissions after this will be ineligible for a prize from this bounty program.

Resources

amanPradhan05 commented

is it still open?