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