Daemon Goldsmith - Order Flow Trading For Fun And Profit.pdf -

| Component | Description | |-----------|-------------| | | Buying at bid, selling at ask. | | Rebates | Some exchanges pay fees for adding liquidity (maker rebates). | | Adverse selection | Risk of being picked off by informed traders. | | Inventory management | Offsetting unwanted exposure. |

import numpy as np import pandas as pd spread = 0.05 half_spread = spread / 2 mid_price = 100.00 inventory = 0 cash = 10000 num_trades = 1000 Daemon's limit prices bid_limit = mid_price - 0.02 ask_limit = mid_price + 0.07 daemon goldsmith - order flow trading for fun and profit.pdf

Minus exchange fees (e.g., 0.1% taker fee on the exiting trade) → net ~$0.08. Below is a simplified backtest of a Daemon Goldsmith trading against random order flow. | Component | Description | |-----------|-------------| | |