maker/bothub
← Estratégias
n_s11_glftN · Neutrabacktestrelatório · 24 de jul. de 2026, 01:17

S11 GLFT Closed-Form

Guéant-Lehalle-Fernandez-Tapia closed-form (arXiv:1605.01862) com calibração online de A/k por intensidade de chegada e σ rolling. Substitui/valida a estimativa de κ do S1.

paramstimeframe=tickorder_qty=0.001requote_interval_ms=1000capital_ref=10000maker_fee=0.0002cashback_rate=0.6latency_ns=30000000queue_model=risk_adverserisk_desc={"sizing":"post-only maker (fixed order_qty)","stop":"inventory-band (position cap, no price stop)"}mm_metrics={"BTCUSDT":{"volume_quote":45899.33569999997,"volume_per_capital":4.589933569999997,"n_fills":698,"pnl_pre_cashback":-12.318867140000076,"pnl_pre_cashback_bps":-2.683887893392776,"fees_paid":9.17986714000001,"cashback":5.507920284000005,"pnl_net":-6.810946856000071,"markout_1s_bps":0.3021996948276379,"markout_5s_bps":-0.6736780559023666,"markout_30s_bps":-0.7493739160890923,"inventory_max_abs":0.004,"inventory_rms":0.0006835310640477402,"orders_per_min":17.8382638501816,"two_sided_uptime_pct":27.14294054198312},"ETHUSDT":{"volume_quote":4849.907079999999,"volume_per_capital":0.4849907079999999,"n_fills":2556,"pnl_pre_cashback":-1.329931416000003,"pnl_pre_cashback_bps":-2.7421791676883083,"fees_paid":0.9699814160000008,"cashback":0.5819888496000004,"pnl_net":-0.7479425664000027,"markout_1s_bps":0.6500386891347014,"markout_5s_bps":-0.552232384527925,"markout_30s_bps":-0.5512260010995388,"inventory_max_abs":0.011000000000000003,"inventory_rms":0.002475957496245086,"orders_per_min":63.995227590107326,"two_sided_uptime_pct":36.32344666827426}}window={"kind":"real-tick short window","note":"Família N (market making) roda no hftbacktest sobre dados TICK reais de UMA janela curta (dias), NÃO os ~5 anos de candle das famílias direcionais SC/T. Métricas anualizadas (cagr, sharpe) são extrapolações dessa janela curta — ler com cautela."}blotter_note=Cada linha de 'trades' é um FILL maker (entry_ts=exit_ts); exit_reason='signal' mapeia o 'fill' passivo (schema não tem 'fill'). pnl_quote = markout 5s do fill − maker fee.

Como funciona

o que abre, o que arrisca e o que fecha a operação

GLFT closed-form (arXiv:1605.01862) com calibração online de A/k.

direçãoLong e shorttimeframetick
Abreo gatilho de entrada

half_spread=c1+Δ/2·σ·c2, skew=σ·c2; bid/ask=mid−skew·q∓/±half_spread, clipado no best; A/k calibrados por intensidade de chegada; post-only.

Arriscasizing e proteção

Maker de qty fixa; spread/skew adaptam a σ e à intensidade do fluxo.

Fechao gatilho de saída

Sem stop; banda de inventário (default 20× order_qty).

Customizar & testar

ajuste os parâmetros, escolha as moedas e rode um backtest sob demanda
Parâmetros
0.0050.00
Avellaneda-Stoikov: maior γ desloca mais contra o inventário.
0.0100.0
Parâmetro Δ do GLFT (notebook usa 1).
2500
Só ajusta A/k nos primeiros N ticks (o fit exagera perto do mid).
1600
Cada quantos segundos recalibra A/k e σ.
0.000100.000
Para de quotar um lado quando |inventário| passa disso (0 = desliga).
Direção
Símbolos

Carregando universo do serviço…

Baselinerelatório pré-gerado · defaults

Simulador de capital

informe um capital e veja volume e fluxo de taxa projetados no período
Capital
$
Cashback (maker rebate)
maker 2.0 bps · taker 5.50 bps
cashback 60% · $10,000 sobre $10k ref
Volume projetado$50.75K$0.04/dia · 1195093d de backtest
Cashback estimado▲ recebe
+$6.09+$0.00/dia · 1.20 bps efetivos · 60% de cashback sobre a maker fee

Curva de capital

equity, volume, gestão de risco e blotter do símbolo selecionado
LARGEperíodo completo-0.1%eq 10K
Volume gerado · BTCUSDT$45,899
Volume gerado · estratégia$50,7492 símbolos

Gestão de risco

sizing, stop e alavancagem · BTCUSDT
Sizingall-in
Risco por trade
Tipo de stopnone
Múltiplo ATR
Alavancagem máx0.5×
Trailingnão
Retorno total-0.1%
CAGR-25.8%
Sharpe-28.06
Sortino-1.33
Max DD0.1%
Duração DD1d

Blotter

histórico de operações · BTCUSDT
exibindo os 500 mais recentes de 698entry desc
EntradaSaídaLadoEntryExitNotionalPnLPnL %RSaída porBarras
23/07/26, 17:5723/07/26, 17:57long64,757.1064,757.10$64.76-$0.02-0.00%signal0
23/07/26, 17:5623/07/26, 17:56short64,751.6064,751.60$64.75-$0.01-0.00%signal0
23/07/26, 17:5523/07/26, 17:55long64,759.3064,759.30$64.76-$0.01-0.00%signal0
23/07/26, 17:5523/07/26, 17:55short64,780.4064,780.40$64.78-$0.02-0.00%signal0
23/07/26, 17:5423/07/26, 17:54long64,788.0064,788.00$64.79-$0.01-0.00%signal0
23/07/26, 17:5423/07/26, 17:54long64,793.1064,793.10$64.79-$0.02-0.00%signal0
23/07/26, 17:5423/07/26, 17:54long64,799.1064,799.10$64.80-$0.01-0.00%signal0
23/07/26, 17:5423/07/26, 17:54short64,798.2064,798.20$64.80-$0.01-0.00%signal0
23/07/26, 17:5423/07/26, 17:54short64,794.1064,794.10$64.79-$0.02-0.00%signal0
23/07/26, 17:5423/07/26, 17:54long64,795.3064,795.30$64.80-$0.01-0.00%signal0
23/07/26, 17:5423/07/26, 17:54long64,798.4064,798.40$64.80-$0.02-0.00%signal0
23/07/26, 17:5423/07/26, 17:54short64,792.0064,792.00$64.79-$0.02-0.00%signal0
23/07/26, 17:5423/07/26, 17:54short64,787.9064,787.90$64.79-$0.02-0.00%signal0
23/07/26, 17:5423/07/26, 17:54short64,785.1064,785.10$64.79-$0.02-0.00%signal0
23/07/26, 17:5423/07/26, 17:54long64,782.8064,782.80$64.78-$0.0079-0.00%signal0
23/07/26, 17:5423/07/26, 17:54long64,787.8064,787.80$64.79-$0.02-0.00%signal0
23/07/26, 17:5423/07/26, 17:54long64,804.4064,804.40$64.80-$0.03-0.00%signal0
23/07/26, 17:5323/07/26, 17:53short64,803.0064,803.00$64.80-$0.01-0.00%signal0
23/07/26, 17:5323/07/26, 17:53short64,782.0064,782.00$64.78-$0.02-0.00%signal0
23/07/26, 17:5323/07/26, 17:53short64,779.3064,779.30$64.78-$0.02-0.00%signal0
23/07/26, 17:5323/07/26, 17:53long64,793.4064,793.40$64.79-$0.01-0.00%signal0
23/07/26, 17:5323/07/26, 17:53long64,798.3064,798.30$64.80-$0.02-0.00%signal0
23/07/26, 17:5323/07/26, 17:53long64,805.4064,805.40$64.81-$0.02-0.00%signal0
23/07/26, 17:5223/07/26, 17:52long64,816.4064,816.40$64.82-$0.02-0.00%signal0
23/07/26, 17:5223/07/26, 17:52long64,818.7064,818.70$64.82-$0.02-0.00%signal0
23/07/26, 17:5223/07/26, 17:52short64,804.7064,804.70$64.80-$0.02-0.00%signal0
23/07/26, 17:5223/07/26, 17:52short64,799.9064,799.90$64.80-$0.02-0.00%signal0
23/07/26, 17:5223/07/26, 17:52short64,795.1064,795.10$64.80-$0.02-0.00%signal0
23/07/26, 17:5223/07/26, 17:52short64,791.3064,791.30$64.79-$0.03-0.00%signal0
23/07/26, 17:5223/07/26, 17:52short64,786.2064,786.20$64.79-$0.02-0.00%signal0
23/07/26, 17:5123/07/26, 17:51long64,784.7064,784.70$64.78-$0.01-0.00%signal0
23/07/26, 17:5123/07/26, 17:51long64,806.4064,806.40$64.81-$0.03-0.00%signal0
23/07/26, 17:5123/07/26, 17:51short64,811.6064,811.60$64.81-$0.01-0.00%signal0
23/07/26, 17:5123/07/26, 17:51long64,814.3064,814.30$64.81-$0.02-0.00%signal0
23/07/26, 17:5123/07/26, 17:51long64,818.0064,818.00$64.82-$0.02-0.00%signal0
23/07/26, 17:5123/07/26, 17:51long64,821.6064,821.60$64.82-$0.02-0.00%signal0
23/07/26, 17:5123/07/26, 17:51short64,818.6064,818.60$64.82-$0.02-0.00%signal0
23/07/26, 17:5123/07/26, 17:51short64,813.9064,813.90$64.81-$0.02-0.00%signal0
23/07/26, 17:5023/07/26, 17:50short64,810.8064,810.80$64.81-$0.01-0.00%signal0
23/07/26, 17:4923/07/26, 17:49long64,825.8064,825.80$64.83-$0.02-0.00%signal0
23/07/26, 17:4923/07/26, 17:49long64,831.8064,831.80$64.83-$0.01-0.00%signal0
23/07/26, 17:4923/07/26, 17:49short64,830.2064,830.20$64.83-$0.02-0.00%signal0
23/07/26, 17:4923/07/26, 17:49long64,839.9064,839.90$64.84-$0.03-0.00%signal0
23/07/26, 17:4923/07/26, 17:49short64,838.8064,838.80$64.84-$0.01-0.00%signal0
23/07/26, 17:4823/07/26, 17:48long64,829.3064,829.30$64.83-$0.0079-0.00%signal0
23/07/26, 17:4823/07/26, 17:48short64,830.8064,830.80$64.83-$0.01-0.00%signal0
23/07/26, 17:4823/07/26, 17:48short64,823.3064,823.30$64.82-$0.02-0.00%signal0
23/07/26, 17:4823/07/26, 17:48short64,807.1064,807.10$64.81-$0.03-0.00%signal0
23/07/26, 17:4823/07/26, 17:48long64,822.1064,822.10$64.82-$0.02-0.00%signal0
23/07/26, 17:4823/07/26, 17:48long64,827.4064,827.40$64.83-$0.02-0.00%signal0
23/07/26, 17:4823/07/26, 17:48short64,821.9064,821.90$64.82-$0.02-0.00%signal0
23/07/26, 17:4823/07/26, 17:48short64,809.1064,809.10$64.81-$0.03-0.00%signal0
23/07/26, 17:4723/07/26, 17:47long64,817.1064,817.10$64.82-$0.02-0.00%signal0
23/07/26, 17:4723/07/26, 17:47long64,822.3064,822.30$64.82-$0.03-0.00%signal0
23/07/26, 17:4723/07/26, 17:47short64,822.6064,822.60$64.82-$0.02-0.00%signal0
23/07/26, 17:4723/07/26, 17:47long64,818.1064,818.10$64.82-$0.0046-0.00%signal0
23/07/26, 17:4723/07/26, 17:47long64,831.5064,831.50$64.83-$0.02-0.00%signal0
23/07/26, 17:4623/07/26, 17:46long64,835.2064,835.20$64.84-$0.02-0.00%signal0
23/07/26, 17:4623/07/26, 17:46short64,829.0064,829.00$64.83-$0.01-0.00%signal0
23/07/26, 17:4623/07/26, 17:46short64,822.0064,822.00$64.82-$0.02-0.00%signal0
23/07/26, 17:4623/07/26, 17:46short64,811.3064,811.30$64.81-$0.02-0.00%signal0
23/07/26, 17:4623/07/26, 17:46long64,828.4064,828.40$64.83-$0.01-0.00%signal0
23/07/26, 11:0623/07/26, 11:06short65,636.1065,636.10$65.64-$0.02-0.00%signal0
23/07/26, 11:0523/07/26, 11:05short65,636.0065,636.00$65.64-$0.01-0.00%signal0
23/07/26, 11:0523/07/26, 11:05long65,620.8065,620.80$65.62-$0.0001-0.00%signal0
23/07/26, 11:0423/07/26, 11:04long65,656.2065,656.20$65.66-$0.01-0.00%signal0
23/07/26, 11:0323/07/26, 11:03long65,666.2065,666.20$65.67-$0.02-0.00%signal0
23/07/26, 11:0323/07/26, 11:03short65,663.9065,663.90$65.66-$0.02-0.00%signal0
23/07/26, 11:0323/07/26, 11:03short65,658.0065,658.00$65.66-$0.02-0.00%signal0
23/07/26, 11:0323/07/26, 11:03long65,660.6065,660.60$65.66-$0.02-0.00%signal0
23/07/26, 11:0323/07/26, 11:03short65,664.2065,664.20$65.66-$0.02-0.00%signal0
23/07/26, 11:0323/07/26, 11:03long65,665.0065,665.00$65.67-$0.01-0.00%signal0
23/07/26, 11:0223/07/26, 11:02short65,670.2065,670.20$65.67-$0.02-0.00%signal0
23/07/26, 11:0223/07/26, 11:02short65,654.5065,654.50$65.65-$0.03-0.00%signal0
23/07/26, 11:0123/07/26, 11:01long65,688.3065,688.30$65.69-$0.02-0.00%signal0
23/07/26, 11:0123/07/26, 11:01long65,695.9065,695.90$65.70-$0.02-0.00%signal0
23/07/26, 11:0023/07/26, 11:00short65,701.2065,701.20$65.70-$0.01-0.00%signal0
23/07/26, 11:0023/07/26, 11:00long65,703.4065,703.40$65.70-$0.02-0.00%signal0
23/07/26, 11:0023/07/26, 11:00long65,709.5065,709.50$65.71-$0.02-0.00%signal0
23/07/26, 10:5923/07/26, 10:59short65,698.2065,698.20$65.70-$0.02-0.00%signal0
23/07/26, 10:5823/07/26, 10:58long65,695.2065,695.20$65.70-$0.02-0.00%signal0
23/07/26, 10:5823/07/26, 10:58short65,692.2065,692.20$65.69-$0.02-0.00%signal0
23/07/26, 10:5823/07/26, 10:58short65,686.5065,686.50$65.69-$0.02-0.00%signal0
23/07/26, 10:5723/07/26, 10:57long65,696.7065,696.70$65.70-$0.01-0.00%signal0
23/07/26, 10:5723/07/26, 10:57long65,706.0065,706.00$65.71-$0.02-0.00%signal0
23/07/26, 10:5723/07/26, 10:57long65,712.1065,712.10$65.71-$0.02-0.00%signal0
23/07/26, 10:5623/07/26, 10:56short65,710.9065,710.90$65.71-$0.01-0.00%signal0
23/07/26, 10:5623/07/26, 10:56short65,705.2065,705.20$65.71-$0.02-0.00%signal0
23/07/26, 10:5623/07/26, 10:56short65,689.9065,689.90$65.69-$0.02-0.00%signal0
23/07/26, 10:5623/07/26, 10:56long65,690.9065,690.90$65.69-$0.01-0.00%signal0
23/07/26, 10:5523/07/26, 10:55short65,690.7065,690.70$65.69-$0.02-0.00%signal0
23/07/26, 10:5523/07/26, 10:55long65,691.3065,691.30$65.69-$0.01-0.00%signal0
23/07/26, 10:5523/07/26, 10:55long65,711.8065,711.80$65.71-$0.03-0.00%signal0
23/07/26, 10:5523/07/26, 10:55short65,706.2065,706.20$65.71-$0.02-0.00%signal0
23/07/26, 10:5523/07/26, 10:55short65,696.1065,696.10$65.70-$0.02-0.00%signal0
23/07/26, 10:5423/07/26, 10:54short65,693.2065,693.20$65.69-$0.02-0.00%signal0
23/07/26, 10:5423/07/26, 10:54long65,701.4065,701.40$65.70-$0.02-0.00%signal0
23/07/26, 10:5423/07/26, 10:54long65,707.2065,707.20$65.71-$0.02-0.00%signal0
23/07/26, 10:5323/07/26, 10:53long65,717.9065,717.90$65.72-$0.02-0.00%signal0
23/07/26, 10:5323/07/26, 10:53short65,717.8065,717.80$65.72-$0.01-0.00%signal0
23/07/26, 10:5223/07/26, 10:52short65,704.8065,704.80$65.70-$0.02-0.00%signal0
23/07/26, 10:5223/07/26, 10:52long65,705.5065,705.50$65.71-$0.01-0.00%signal0
23/07/26, 10:5223/07/26, 10:52long65,726.2065,726.20$65.73-$0.03-0.00%signal0
23/07/26, 10:5223/07/26, 10:52short65,725.8065,725.80$65.73-$0.01-0.00%signal0
23/07/26, 10:5123/07/26, 10:51short65,721.5065,721.50$65.72-$0.01-0.00%signal0
23/07/26, 10:5023/07/26, 10:50long65,746.2065,746.20$65.75-$0.02-0.00%signal0
23/07/26, 10:4923/07/26, 10:49long65,752.8065,752.80$65.75-$0.02-0.00%signal0
23/07/26, 10:4823/07/26, 10:48short65,749.5065,749.50$65.75-$0.02-0.00%signal0
23/07/26, 10:2823/07/26, 10:28long65,727.0065,727.00$65.73-$0.01-0.00%signal0
23/07/26, 10:2723/07/26, 10:27short65,725.9065,725.90$65.73-$0.01-0.00%signal0
23/07/26, 10:2723/07/26, 10:27long65,727.0065,727.00$65.73-$0.02-0.00%signal0
23/07/26, 10:2723/07/26, 10:27long65,720.9065,720.90$65.72-$0.01-0.00%signal0
23/07/26, 10:2723/07/26, 10:27short65,726.8065,726.80$65.73-$0.0077-0.00%signal0
23/07/26, 10:2723/07/26, 10:27short65,722.4065,722.40$65.72-$0.0077-0.00%signal0
23/07/26, 10:2723/07/26, 10:27long65,722.4065,722.40$65.72-$0.02-0.00%signal0
23/07/26, 10:2423/07/26, 10:24short65,667.0065,667.00$65.67-$0.02-0.00%signal0
23/07/26, 10:2323/07/26, 10:23long65,660.7065,660.70$65.66-$0.02-0.00%signal0
23/07/26, 10:2323/07/26, 10:23short65,653.8065,653.80$65.65-$0.02-0.00%signal0
23/07/26, 10:2323/07/26, 10:23long65,672.5065,672.50$65.67-$0.04-0.00%signal0
23/07/26, 10:2323/07/26, 10:23short65,669.2065,669.20$65.67-$0.02-0.00%signal0
23/07/26, 10:2223/07/26, 10:22long65,670.1065,670.10$65.67-$0.02-0.00%signal0
23/07/26, 10:2223/07/26, 10:22short65,659.6065,659.60$65.66-$0.02-0.00%signal0
23/07/26, 10:2123/07/26, 10:21short65,654.5065,654.50$65.65-$0.02-0.00%signal0
23/07/26, 10:2123/07/26, 10:21short65,645.6065,645.60$65.65-$0.02-0.00%signal0
23/07/26, 10:2123/07/26, 10:21long65,647.3065,647.30$65.65-$0.01-0.00%signal0
23/07/26, 10:2123/07/26, 10:21long65,652.3065,652.30$65.65-$0.02-0.00%signal0
23/07/26, 10:2123/07/26, 10:21long65,656.2065,656.20$65.66-$0.02-0.00%signal0
23/07/26, 10:2123/07/26, 10:21short65,647.5065,647.50$65.65-$0.01-0.00%signal0
23/07/26, 10:2123/07/26, 10:21short65,643.6065,643.60$65.64-$0.02-0.00%signal0
23/07/26, 10:2123/07/26, 10:21long65,647.3065,647.30$65.65-$0.02-0.00%signal0
23/07/26, 10:2023/07/26, 10:20short65,645.8065,645.80$65.65-$0.02-0.00%signal0
23/07/26, 10:2023/07/26, 10:20long65,653.3065,653.30$65.65-$0.01-0.00%signal0
23/07/26, 10:2023/07/26, 10:20short65,650.1065,650.10$65.65-$0.02-0.00%signal0
23/07/26, 10:2023/07/26, 10:20long65,650.4065,650.40$65.65-$0.01-0.00%signal0
23/07/26, 10:2023/07/26, 10:20short65,652.4065,652.40$65.65-$0.02-0.00%signal0
23/07/26, 10:2023/07/26, 10:20long65,668.5065,668.50$65.67-$0.03-0.00%signal0
23/07/26, 10:1923/07/26, 10:19long65,681.4065,681.40$65.68-$0.02-0.00%signal0
23/07/26, 10:1923/07/26, 10:19short65,681.3065,681.30$65.68-$0.01-0.00%signal0
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22/07/26, 23:0422/07/26, 23:04short65,995.2065,995.20$66.00-$0.02-0.00%signal0
22/07/26, 23:0422/07/26, 23:04long65,993.0065,993.00$65.99-$0.01-0.00%signal0
22/07/26, 23:0422/07/26, 23:04short65,997.0065,997.00$66.00-$0.008-0.00%signal0
22/07/26, 23:0422/07/26, 23:04short65,992.7065,992.70$65.99-$0.01-0.00%signal0
22/07/26, 23:0422/07/26, 23:04long65,996.3065,996.30$66.00-$0.02-0.00%signal0
22/07/26, 23:0422/07/26, 23:04long66,009.2066,009.20$66.01-$0.02-0.00%signal0
22/07/26, 23:0422/07/26, 23:04short66,002.8066,002.80$66.00-$0.02-0.00%signal0
22/07/26, 23:0422/07/26, 23:04long66,002.1066,002.10$66.00-$0.01-0.00%signal0
22/07/26, 23:0322/07/26, 23:03short66,002.5066,002.50$66.00-$0.01-0.00%signal0
22/07/26, 23:0322/07/26, 23:03short65,998.3065,998.30$66.00-$0.01-0.00%signal0
22/07/26, 23:0322/07/26, 23:03short65,990.2065,990.20$65.99-$0.02-0.00%signal0
22/07/26, 23:0322/07/26, 23:03long65,994.1065,994.10$65.99-$0.01-0.00%signal0
22/07/26, 23:0322/07/26, 23:03long65,999.7065,999.70$66.00-$0.02-0.00%signal0

Métricas por símbolo

a régua do torneio, símbolo a símbolo
SímboloTierRetorno totalCAGRSharpeSortinoMax DDDuração DDWin rateProfit factorPayoffTradesExposiçãoTurnoverVolume totalFees pagas
BTCUSDTLARGE-0.1%-25.8%-28.06-1.330.1%1d0.1%0.000.1969827.1%4.6×$45.9K$9.18
ETHUSDTLARGE-0.0%-2.3%-23.86-1.880.0%1d2.6%0.010.462,55636.3%0.5×$4,849.91$0.97

Funciona melhor por tamanho de ativo?

média das métricas-chave por tier — LARGE vs MID vs LOW

Comparação por tier disponível quando o relatório cobrir 2+ tiers.

Live

estado de execução em produção
Aguardando conexão live — posições abertas, PnL ativo e risco máximo aparecem aqui quando o bot subir no VPS (Fase 3).
Posições abertas
SímboloLadoQtdEntradauPnL
PnL do dia
pré-cashback · bps de volume
Risco
Inventário / banda
Kill switch
WS privado