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⚙️ 11 parts

Execution & Market Making

From TWAP/VWAP and Almgren-Chriss to TCA, slippage models, and the Avellaneda-Stoikov market maker — how to turn a signal into fills without paying the spread twice.

  1. 01
    TWAP vs VWAP vs POV: picking an execution benchmark (and knowing when each lies to you)
    Jul 15, 2026 #execution

    TWAP vs VWAP vs POV: picking an execution benchmark (and knowing when each lies to you)

    TWAP, VWAP and POV are bets on a volume forecast. We dissect each scheduler's hidden assumptions, build crypto intraday volume curves, and run all three head-to-head on replayed L2 data.
  2. 02
    Almgren-Chriss Without the Hand-Waving: Optimal Execution You Can Implement in an Afternoon
    Jul 14, 2026 #execution

    Almgren-Chriss Without the Hand-Waving: Optimal Execution You Can Implement in an Afternoon

    Full derivation of the Almgren-Chriss optimal execution model: linear impact, the sinh/cosh trajectory, the efficient frontier, and working Python for calibrating eta, gamma, and sigma from Binance L2 and trade data.
  3. 03
    Inside the slice: child-order tactics between your scheduler and the exchange
    Jul 24, 2026 #execution

    Inside the slice: child-order tactics between your scheduler and the exchange

    Almgren-Chriss and VWAP only set slice budgets — execution is won in the tactics layer. Escalation timers, maker-taker break-even math, amend vs cancel-replace queue semantics on Binance/OKX/CME, iceberg anti-signaling, and a Python per-slice state machine.
  4. 04
    Smart Order Routing in Crypto: One Order, Twelve Venues, No NBBO
    Jul 22, 2026 #execution

    Smart Order Routing in Crypto: One Order, Twelve Venues, No NBBO

    Why crypto SOR is harder than equities routing: no consolidated tape, phantom liquidity, prefunded capital. A convex routing optimization with math and Python, maker-aware tactics, and per-venue markout league tables from your own TCA.
  5. 05
    The maker-taker decision: fee tiers, rebates, and the true cost of crossing the spread
    Jul 21, 2026 #maker taker

    The maker-taker decision: fee tiers, rebates, and the true cost of crossing the spread

    Maker vs taker is an adverse-selection trade wearing a fee schedule. Break-even math via Glosten-Milgrom, real crypto fee tiers and token discounts, rebate mining history, queue-dependent rebate value, and modeling tiered fees in a backtest.
  6. 06
    Slippage curves, not slippage constants: cost models that survive contact with live trading
    Jul 23, 2026 #slippage

    Slippage curves, not slippage constants: cost models that survive contact with live trading

    Replace constant-bps slippage with size, volatility and liquidity-dependent cost curves: the square-root law, fitting curves from TCA fills or public data, regime stress multipliers, and why your strategy leaderboard reshuffles.
  7. 07
    Fill simulation: the ladder from close-price fantasy to queue-aware reality
    Jul 16, 2026 #fill simulation

    Fill simulation: the ladder from close-price fantasy to queue-aware reality

    Five rungs of fill simulation fidelity — from close-price fills to probabilistic queue-position models. Partial fills as a state machine, limit-fill probability bounds as a PnL bracket, and a calibration loop against live fills.
  8. 08
    Implementation shortfall and DIY TCA: measuring what execution actually costs you
    Jul 20, 2026 #execution

    Implementation shortfall and DIY TCA: measuring what execution actually costs you

    Perold's implementation shortfall turned into a working TCA pipeline for crypto bots: arrival-price decomposition, markout curves at t+1s/10s/60s, ~200 lines of Python over your own fills, and feeding the results back into your backtest cost model.
  9. 09
    Building a Market Making Algorithm for Crypto Pairs Using the Avellaneda-Stoikov Model
    May 17, 2025 #market making

    Building a Market Making Algorithm for Crypto Pairs Using the Avellaneda-Stoikov Model

    A step-by-step guide to building a market making algorithm for USD+/wETH and USD+/cbbtc pairs using the Avellaneda-Stoikov model and PPO. Onchain trading features, inventory management, RL training.
  10. 10
    Updating the Volume Curve Intraday: Does Adaptive Forecasting Actually Help?
    Aug 13, 2026 #microstructure

    Updating the Volume Curve Intraday: Does Adaptive Forecasting Actually Help?

    Our VWAP article shipped a static, weekly-refit volume curve and called the forecaster the weakest link. This is the follow-up: a Bayesian intraday updater run against the same 500-parent BTCUSDT harness, with the IS delta conditioned on realized curve error.
  11. 11
    PnL by Active Time: The Metric That Changes Strategy Rankings
    Mar 18, 2026 #algotrading

    PnL by Active Time: The Metric That Changes Strategy Rankings

    Why raw annual PnL is a poor metric for comparing strategies with different trading time. How to calculate effective return, why you need fill_efficiency, and why a strategy with 27% PnL can outperform one with 300%.