Trading Algorithms & Market Microstructure

On-chain quant. Building strategies, backtesting honestly, managing slippage and gas, infrastructure for production trading.

4 lessons · 2 hr 15 min · expert

1. 1On-Chain MicrostructureBlock latency, mempool dynamics, MEV exposure, and the gap between transaction inclusion and economic finality.35 min
2. 2Backtesting That Doesn't LieSurvivorship bias, look-ahead bias, slippage modeling, gas accounting, failed transactions, and the tools (Hummingbot, Jesse, vectorbt, LEAN) and data sources (Kaiko, Dune, Allium) that make honest backtests possible.35 min
3. 3Strategy Patterns: Mean Reversion, Funding-Rate, Stat ArbFunding-rate arbitrage on Hyperliquid, dYdX v4, GMX, Drift, and Aevo; mean reversion and Bollinger-band strategies; momentum breakouts; statistical arbitrage and relative-value pairs.35 min
4. 4Production Infra: RPCs, Mempools, Private Order FlowRPC providers (Alchemy, Infura, QuickNode, Helius, Triton), private mempools (Flashbots Protect, MEV-Blocker, MEV-Share), bundle submission (Flashbots, BloXroute, Titan, Beaverbuild), and latency/redundancy engineering.30 min

Educational only — not financial advice.