gwyneth-chen

Avellaneda-Stoikov market making generates optimal bid and ask quotes for crypto pairs by modeling spread capture against inventory risk. It calculates a reservation price adjusted for current holdings, then skews quotes to manage exposure while maximizing captured spread.

To generate real-time quotes across multiple venues, provide a trading pair and current inventory data. The skill estimates fair value per venue, applies maker rebate-aware pricing, and outputs optimal bid and ask levels with inventory skew adjustments.

Yes, inventory skew management dynamically adjusts bid and ask quotes based on your current holdings. As inventory builds in one direction, the reservation price shifts and quotes are skewed to attract offsetting flow, controlling overall portfolio risk.

Detecting adverse selection involves monitoring quote toxicity and flow patterns in real-time. The skill includes safety checks that identify toxic flow and can trigger automated safety pauses, preventing losses from informed traders picking off stale quotes.

Yes, maker rebate-aware quoting factors venue-specific rebates into the optimal bid and ask calculation. It decomposes P&L across multiple exchanges by isolating spread capture, inventory gains, and rebate contributions for each venue.

During high volatility, automated market making faces increased adverse selection risk and wider optimal spreads. The skill enforces safety checks and can pause quoting when volatility thresholds are breached, but extreme conditions may still result in inventory imbalances.