Cross-Exchange Market Making

Cross-Exchange Market Making

Professional cross-exchange market making strategy: places passive maker orders on Maker exchange for rebates, immediately hedges on Taker exchange upon fills to lock in spread profits.

Core Features: - Real-time partial fill hedging without waiting for full fills - VWAP depth calculation to avoid slippage from large orders - Complete order tracking and state management - Taker order timeout handling to prevent system blocking - Failed hedge auto-retry queue mechanism - Unified PnL accounting for clear profit tracking - Safe exit mechanism with automatic order cancellation - Auto spot/futures detection with smart hedge capability check

Applicable Scenarios: - Stable price spread exists between same pair on different exchanges - Maker exchange offers negative fees (rebates) or very low fees - Good liquidity on both exchanges with low network latency