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.
amanPradhan05
commented
1 year ago
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).
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.
Tier 3
An expiratory futures market maker that has the ability to hedge its risk on other venues
Requirements
Criteria
We will look at:
Deadline
Resources