What if I cannot buy or sell at my intended price and within my investment horizon?…!!
In this article, except for measuring the liquidity, we want to see how two markets’ liquidity on the same product can lead to trading profit. With abundant liquidity, a trader may drop his concern on the difference between expected price and executed price. So we experimented with OKEx BTC Quarterly Futures, as known to many, one of the most successful products in the digital asset world and has been emulated by many competitors, almost surely, identical.
1. Same products, but not 100% matching on their price movements.
As mentioned before, statistical arbitrage is wildly used and effective strategy implemented by many professionals and active traders, we experiment with the same algo from the previous report. Furthermore, we select Exchange B which is less liquid, and expected some opportunity between OKEx and Exchange B. And tested 5-min based strategy during October.
First, we checked the correlation of two products, expect to see very close to perfect.
As given above, this liquid market will mitigate the issue of timely trading and slippage. Previous approach on BSV spot trading entails illiquid situation compared to BTC futures Quarterly. Also, we would like to take into consideration transaction fees by comparing spot to futures, exchange B to OKEx, which became important when the number of trades increased around 80 times. At least, we can see this idea is valuable for steady growth with a high-frequency trading approach, combined with a discounted fee tier level.