鎌倉散歩 — これから書くことについて
国内の取引所で、暗号資産のクオンツ取引をしています。 続けているうちに、手元にはそれなりの量の記録と、 いくつかの「わかったこと」が溜まりました。 その置き場所として、ここを使うことにしました。 なぜ書くのか 国内取引所について、数字で書かれたものがほとんどありません。 スプレッ…
Japanese crypto markets, quantitatively
Kamakura Quant Lab does three things, all aimed at Japanese cryptocurrency exchanges.
- Quantitative trading
- Forming ideas from order book and trade data, testing them, and running them.
- Sharing what we learn
- Writing up methods and their limits, reproducibly. Including the measurements that turned out to disagree with the idea, which are usually the more useful half.
- Building the systems
- Collection, storage, verification and backtesting, built in-house. JP Market Archive fell out of that, and is the only part currently for sale.
Market Archive
L2 order book depth and public trades from bitbank, Coincheck, GMO Coin and Binance, stored one partition per Asia/Tokyo day. Most venues publish their own trade history; almost none publish depth, and depth is what microstructure work usually needs. The Japanese venues and Binance share one timeline and one layout, so a lead-lag study starts immediately.