Funding rates, liquidations, OTC, and rebate capture
The mechanics beneath crypto market prices: perpetual funding rates, liquidation engine design, OTC desk infrastructure, options infrastructure, maker rebate capture at scale, and cross-venue inventory management.
Alpha is not just in the signal - it is in execution quality. A 5bps maker rebate captured consistently across $100M daily volume is $50K/day. Adverse selection from a stale quote during a liquidation cascade is $200K/day. These seven posts quantify every layer of execution quality.
How perpetual futures actually work under the hood - funding calculations, mark price, basis trading, and the infrastructure implications for any system that holds positions overnight.
How exchange liquidation engines actually work - maintenance margin, mark price triggers, the insurance fund, auto-deleveraging, and what your risk system must track to never get caught.
Crypto OTC at institutional scale: RFQ flows, quote engine mechanics, hedge execution timing, settlement windows, and how OTC fills wire into your exchange position and risk system.
IV surface maintenance, Greeks streaming across 1000+ instruments, and delta hedging pipelines: the data-side challenges of crypto options infrastructure that equities experience doesn't prepare you for.
The math behind maker-taker fee structures, VIP tier optimization, post-only order economics, and how fee-adjusted mid price should drive your venue routing decisions at scale.
Aggregating positions across 12 exchanges with different latency and consistency guarantees, without ever getting the net wrong. Reconciliation loop, split-brain handling, and the failure modes that matter.
Moving stablecoins between venues: chain selection economics, settlement delay by bridge type, automated rebalancing, and the bridge risk model for trading firms that can't afford a stuck transfer.