https://marketmaker.cc/kk/blog/1/ AI trading, market microstructure, and DeFi insights from Marketmaker.cc. kk Mon, 25 May 2026 00:00:00 GMT https://marketmaker.cc/kk/blog/post/portfolio-pipeline-hrp-cvar/ https://marketmaker.cc/kk/blog/post/portfolio-pipeline-hrp-cvar/ Mon, 25 May 2026 00:00:00 GMT A deep dive into Pipeline — the composite allocation algorithm we built on top of HRP. Hierarchical Risk Parity as the base, a long/short overlay driven by agent signals and confidence, and a final risk correction via CVaR with a Hull-White volatility adjustment. The full math from our spec, plus the actual Rust implementation. portfolio optimization HRP hierarchical risk parity CVaR Hull-White EWMA long/short risk management Rust quantitative finance https://marketmaker.cc/kk/blog/post/portfolio-optimization-algorithms-compared/ https://marketmaker.cc/kk/blog/post/portfolio-optimization-algorithms-compared/ Fri, 22 May 2026 00:00:00 GMT One basket of crypto, twelve allocation algorithms, one honest comparison. We open-sourced a Rust portfolio optimizer that runs HRP, HERC, MVO, Black-Litterman, NCO, Entropy Pooling and more behind a single interface — here is how each one thinks and why no single winner exists. portfolio optimization hierarchical risk parity HRP mean-variance Black-Litterman NCO risk parity Rust quantitative finance asset allocation https://marketmaker.cc/kk/blog/post/onetick-tick-analytics-platform/ https://marketmaker.cc/kk/blog/post/onetick-tick-analytics-platform/ Fri, 15 May 2026 00:00:00 GMT Architecture of OneTick — an enterprise-grade time-series engine for tick data. DAG queries via Event Processors, unified real-time and historical data, market surveillance (MiFID II, MAR, SEC), TCA, quant research, and comparison with kdb+. onetick tick data time-series surveillance TCA quant research MiFID II kdb+ algotrading https://marketmaker.cc/kk/blog/post/tradingagents-multi-agent-framework/ https://marketmaker.cc/kk/blog/post/tradingagents-multi-agent-framework/ Tue, 12 May 2026 00:00:00 GMT Architecture deep dive into TradingAgents — an open-source LangGraph framework where LLM agents (analysts, researchers, trader, risk management, portfolio manager) engage in structured debates to make trading decisions. AI multi-agent systems LangGraph LLM trading automation risk management https://marketmaker.cc/kk/blog/post/prediction-markets-arbitrage-fees/ https://marketmaker.cc/kk/blog/post/prediction-markets-arbitrage-fees/ Tue, 12 May 2026 00:00:00 GMT Breaking down arbitrage between Polymarket, Limitless, Predict.fun, Opinion, and Kalshi. Dynamic fees, cross-chain bridges, slippage, resolution risk — and why a 5% spread may still lose money. prediction markets arbitrage Polymarket fees DeFi risks cross-chain https://marketmaker.cc/kk/blog/post/tbricks-broadridge-hft-platform/ https://marketmaker.cc/kk/blog/post/tbricks-broadridge-hft-platform/ Sat, 09 May 2026 00:00:00 GMT Architecture of T-Bricks — a modular HFT platform in C++ for market making, ETF arbitrage, and centralized risk management. 100+ clients, 150+ exchanges, nanosecond latencies. tbricks broadridge hft c++ market-making low-latency prop-trading algotrading fpga https://marketmaker.cc/kk/blog/post/flowsurface-open-source-orderflow/ https://marketmaker.cc/kk/blog/post/flowsurface-open-source-orderflow/ Sat, 09 May 2026 00:00:00 GMT A review of Flowsurface — a free desktop application built in Rust for real-time DOM heatmap, footprint charts, time & sales, and depth ladder visualization. Supports Binance, Bybit, Hyperliquid, OKX, and MEXC. orderflow heatmap DOM footprint rust open-source crypto market-making order-book liquidity https://marketmaker.cc/kk/blog/post/fincept-terminal-review/ https://marketmaker.cc/kk/blog/post/fincept-terminal-review/ Sat, 09 May 2026 00:00:00 GMT In-depth review of Fincept Terminal v4 — a native desktop application built on C++20 and Qt6 with 37 AI agents, QuantLib, and 100+ data connectors for professional trading. fincept terminal c++ qt6 ai quant open-source algotrading https://marketmaker.cc/kk/blog/post/kronos-foundation-model-review/ https://marketmaker.cc/kk/blog/post/kronos-foundation-model-review/ Sun, 19 Apr 2026 00:00:00 GMT Review of Kronos — a foundation model for OHLCV candle forecasting. BSQ tokenizer, hierarchical decoder, two-stage sampling, Qlib training pipeline. How a model learns the 'language' of the exchange. kronos machine learning transformer foundation model qlib review open-source tokenization https://marketmaker.cc/kk/blog/post/jesse-habr-review/ https://marketmaker.cc/kk/blog/post/jesse-habr-review/ Sun, 19 Apr 2026 00:00:00 GMT In-depth review of Jesse — an algo-trading framework for crypto markets. Minute-based simulation, strategies as state machines, Rust-accelerated indicators, optimization with overfitting protection, and the boundary between open-source core and live trading. jesse algo-trading crypto backtest python rust review open-source https://marketmaker.cc/kk/blog/post/ai-hedge-fund-review/ https://marketmaker.cc/kk/blog/post/ai-hedge-fund-review/ Sun, 19 Apr 2026 00:00:00 GMT A deep dive into AI Hedge Fund by virattt — an open-source system where multiple LLM agents with different analysis styles build a portfolio through a risk filter. Architecture, agents, limitations, and lessons for real systems. LLM multi-agent risk management portfolio review github open-source https://marketmaker.cc/kk/blog/post/ai4finance-foundation-guide/ https://marketmaker.cc/kk/blog/post/ai4finance-foundation-guide/ Mon, 13 Apr 2026 00:00:00 GMT Complete guide to the AI4Finance Foundation ecosystem: FinGPT (LLM + LoRA for finance), FinRL (reinforcement learning for trading), FinRobot (multi-agent orchestration). Satellites, pipelines, and practical usage. AI4Finance FinGPT FinRL FinRobot LoRA reinforcement learning LLM open-source https://marketmaker.cc/kk/blog/post/vectorbt-overview/ https://marketmaker.cc/kk/blog/post/vectorbt-overview/ Sun, 12 Apr 2026 00:00:00 GMT Overview of VectorBT — an innovative quantitative analysis library that changes the approach to backtesting thanks to the power of NumPy and Numba. backtesting python vectorbt algotrading numba quantitative analysis https://marketmaker.cc/kk/blog/post/copula-models-joint-risk-crypto/ https://marketmaker.cc/kk/blog/post/copula-models-joint-risk-crypto/ Mon, 30 Mar 2026 00:00:00 GMT Beyond linear correlation — using copula models to capture tail dependence and joint risk in cryptocurrency portfolios for accurate VaR and CVaR estimation. risk copula portfolio tail-dependence VaR https://marketmaker.cc/kk/blog/post/zigbolt-zig-messaging-hft/ https://marketmaker.cc/kk/blog/post/zigbolt-zig-messaging-hft/ Fri, 27 Mar 2026 00:00:00 GMT How and why we built an ultra-low-latency messaging system for HFT from scratch in Zig. No JVM, no GC, no surprises. SPSC ring buffer at 20 ns, IPC at 30 ns, codec at 0 ns. With benchmarks. zigbolt zig hft low-latency messaging aeron ipc open-source https://marketmaker.cc/kk/blog/post/etf-balancer-bot-tinkoff/ https://marketmaker.cc/kk/blog/post/etf-balancer-bot-tinkoff/ Thu, 26 Mar 2026 00:00:00 GMT Open-source TypeScript/Bun bot for automated ETF portfolio rebalancing on Tinkoff Invest. Four balancing modes, margin trading, multi-account support. With source code. etf tinkoff rebalancing portfolio bot algotrading open-source https://marketmaker.cc/kk/blog/post/aeron-messaging-overview/ https://marketmaker.cc/kk/blog/post/aeron-messaging-overview/ Wed, 25 Mar 2026 00:00:00 GMT A deep dive into Aeron — the messaging system from Real Logic for high-frequency trading. Transport, Archive, Cluster, Sequencer. What's inside, how it works, and where the bottlenecks are. aeron hft low-latency messaging java ipc raft finance https://marketmaker.cc/kk/blog/post/shitcoin-pump-dump-strategies/ https://marketmaker.cc/kk/blog/post/shitcoin-pump-dump-strategies/ Tue, 24 Mar 2026 00:00:00 GMT A systematic breakdown of shorting strategies after shitcoin pumps. Funding rate, OI, volume analysis, candlestick patterns, liquidation cascades. With a practical algorithm. shitcoins pump dump short derivatives funding-rate algo trading https://marketmaker.cc/kk/blog/post/algotrading-order-types/ https://marketmaker.cc/kk/blog/post/algotrading-order-types/ Mon, 23 Mar 2026 00:00:00 GMT A comprehensive guide to order types in algorithmic trading: standard exchange orders, chasing limit, time-based, virtual/synthetic orders. With code examples and real-world use cases. orders algotrading limit chasing virtual-orders grid-bot market-making https://marketmaker.cc/kk/blog/post/beyond-time-bars-candle-construction/ https://marketmaker.cc/kk/blog/post/beyond-time-bars-candle-construction/ Sun, 22 Mar 2026 00:00:00 GMT Two-axis classification of candle construction: 17 base bar types (time, tick, volume, dollar, Renko, range, volatility, Heikin-Ashi, Kagi, Line Break, P&F, TIB, VIB, run, CUSUM, entropy, delta) × 3 aggregation methods (calendar, rolling, adaptive) = 51 combinations. With implementation code and practical recommendations. algotrading candles market microstructure Lopez de Prado order flow backtesting research https://marketmaker.cc/kk/blog/post/regime-detection-hmm-adaptive-trading/ https://marketmaker.cc/kk/blog/post/regime-detection-hmm-adaptive-trading/ Sat, 21 Mar 2026 00:00:00 GMT How to identify the current market regime (bull, bear, sideways) using Hidden Markov Models and automatically switch trading strategies. With Python code and backtests. hmm market-regimes machine-learning algotrading adaptive-strategies volatility https://marketmaker.cc/kk/blog/post/queue-position-order-book-wall-analysis/ https://marketmaker.cc/kk/blog/post/queue-position-order-book-wall-analysis/ Fri, 20 Mar 2026 00:00:00 GMT How understanding your place in the queue at a price level transforms scalping from guesswork into an engineering problem order book queue position scalping market making FIFO algorithmic trading market microstructure https://marketmaker.cc/kk/blog/post/llm-alpha-mining-earnings-calls/ https://marketmaker.cc/kk/blog/post/llm-alpha-mining-earnings-calls/ Fri, 20 Mar 2026 00:00:00 GMT How to use large language models to extract trading signals from investor calls, reports, and news. Chain-of-thought prompting, structured extraction, signal backtesting. llm alpha earnings nlp gpt financial-analysis algo-trading https://marketmaker.cc/kk/blog/post/statistical-arbitrage-pairs-trading-crypto/ https://marketmaker.cc/kk/blog/post/statistical-arbitrage-pairs-trading-crypto/ Thu, 19 Mar 2026 00:00:00 GMT A complete guide to statistical arbitrage for crypto markets. Cointegration, Kalman filter, basis strategies, cross-exchange arbitrage. With backtests and Python code. stat arb pairs trading cointegration kalman arbitrage algo trading crypto https://marketmaker.cc/kk/blog/post/digital-fingerprint-trader-identification/ https://marketmaker.cc/kk/blog/post/digital-fingerprint-trader-identification/ Thu, 19 Mar 2026 00:00:00 GMT Every algorithm leaves a unique fingerprint. Learn to read it — and you will know who is on the other side of your trade. fingerprint market maker order book Hawkes process clustering spoofing Hyperliquid market microstructure https://marketmaker.cc/kk/blog/post/pnl-active-time-metric/ https://marketmaker.cc/kk/blog/post/pnl-active-time-metric/ Wed, 18 Mar 2026 00:00:00 GMT 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%. algotrading backtest metrics PnL orchestration portfolio risk management https://marketmaker.cc/kk/blog/post/adaptive-resolution-drill-down-backtest/ https://marketmaker.cc/kk/blog/post/adaptive-resolution-drill-down-backtest/ Tue, 17 Mar 2026 00:00:00 GMT How adaptive data granularity speeds up backtests and saves storage: drill-down from 1m to 1s, 100ms, and raw trades only where price moved significantly or volume spiked, not across the entire historical series. algotrading backtest parquet optimization granularity drill-down adaptive resolution https://marketmaker.cc/kk/blog/post/parquet-cache-multitimeframe-backtest/ https://marketmaker.cc/kk/blog/post/parquet-cache-multitimeframe-backtest/ Mon, 16 Mar 2026 00:00:00 GMT How to precompute timeframes and indicators from minute candles, save them to parquet, and use them for mass strategy testing without redundant recalculations. algotrading backtest multi-timeframe parquet optimization caching https://marketmaker.cc/kk/blog/post/walk-forward-optimization/ https://marketmaker.cc/kk/blog/post/walk-forward-optimization/ Sun, 15 Mar 2026 00:00:00 GMT Why a single train/test split does not protect against overfitting, how walk-forward optimization systematically verifies parameter robustness, and why a strategy with +3342% PnL@ML on 21 parameters is a ticking time bomb without WFO. algotrading backtest walk-forward overfitting validation optimization https://marketmaker.cc/kk/blog/post/signal-correlation-pairs/ https://marketmaker.cc/kk/blog/post/signal-correlation-pairs/ Sat, 14 Mar 2026 00:00:00 GMT Why 10 crypto pairs don't provide 10x diversification, how to calculate effective_N via correlation_factor, and how many pairs you really need to monitor for 80-90% orchestrator slot utilization. algotrading correlation diversification portfolio orchestration crypto https://marketmaker.cc/kk/blog/post/polars-vs-pandas-algotrading/ https://marketmaker.cc/kk/blog/post/polars-vs-pandas-algotrading/ Fri, 13 Mar 2026 00:00:00 GMT Detailed comparison of Polars and Pandas on algotrading tasks: benchmarks for filtering, aggregation, rolling signal computations, I/O, and memory consumption. Hybrid Polars + Numba architecture for maximum backtest performance. algotrading Polars Pandas benchmarks performance data engineering https://marketmaker.cc/kk/blog/post/plateau-analysis-overfitting/ https://marketmaker.cc/kk/blog/post/plateau-analysis-overfitting/ Thu, 12 Mar 2026 00:00:00 GMT Why finding the best strategy parameters is only half the work. How to visually and quantitatively distinguish a stable plateau from a fragile peak, and why Optuna contour plots are a mandatory step before launching an optimized strategy into production. algotrading backtest optimization overfitting plateau analysis parameter stability https://marketmaker.cc/kk/blog/post/optuna-vs-coordinate-descent/ https://marketmaker.cc/kk/blog/post/optuna-vs-coordinate-descent/ Wed, 11 Mar 2026 00:00:00 GMT Why exhaustive search is impossible for 12+ parameters, how coordinate descent misses interactions, and how Optuna with a TPE sampler finds in 500 iterations what OAT cannot find in 96. Practical code examples, sampler comparison, and multi-objective optimization. algotrading backtest optimization Optuna TPE Bayesian optimization coordinate descent hyperparameters https://marketmaker.cc/kk/blog/post/multi-symbol-validation/ https://marketmaker.cc/kk/blog/post/multi-symbol-validation/ Tue, 10 Mar 2026 00:00:00 GMT Why a strategy optimized on ETHUSDT may fail on altcoins. How to properly test across pair groups (blue chips, large caps, shitcoins) and what cross-symbol robustness score to consider sufficient. algotrading backtest validation multi-symbol diversification crypto https://marketmaker.cc/kk/blog/post/funding-rates-kill-leverage/ https://marketmaker.cc/kk/blog/post/funding-rates-kill-leverage/ Mon, 09 Mar 2026 00:00:00 GMT How funding rates on Binance/Bybit turn beautiful high-leverage backtest results into guaranteed losses. Formulas, recalculation of real strategies, and the maximum leverage at which funding does not eat into profits. algo trading backtesting funding rates leverage risk management crypto Binance https://marketmaker.cc/kk/blog/post/cascade-strategies-orchestration/ https://marketmaker.cc/kk/blog/post/cascade-strategies-orchestration/ Sun, 08 Mar 2026 00:00:00 GMT Finale of the 'Backtests Without Illusions' series. How to build an orchestrator from N strategies x M pairs, implement cascade mode with priority and fallback filling, choose dual_size, and why strategy portfolios cannot be backtested by summing PnL. algotrading orchestration portfolio cascade strategies slot management https://marketmaker.cc/kk/blog/post/backtest-live-parity/ https://marketmaker.cc/kk/blog/post/backtest-live-parity/ Sat, 07 Mar 2026 00:00:00 GMT Complete taxonomy of divergences between backtesting and live trading: from slippage and partial fills to codebase desynchronization. Architectural patterns for achieving parity, Python examples of a shared core module, and a production monitoring checklist. algotrading backtest live trading backtest-live parity execution NautilusTrader https://marketmaker.cc/kk/blog/post/monte-carlo-bootstrap-backtest/ https://marketmaker.cc/kk/blog/post/monte-carlo-bootstrap-backtest/ Fri, 06 Mar 2026 00:00:00 GMT Why a single-point estimate from a backtest is a dangerous illusion. How Monte Carlo bootstrap in 2 seconds of computation gives you a 95% confidence interval for PnL and MaxDD, and why this is a mandatory step before launching a strategy in production. algotrading backtest Monte Carlo bootstrap confidence intervals risk management statistics https://marketmaker.cc/kk/blog/post/funding-rate-arbitrage-cross-exchange/ https://marketmaker.cc/kk/blog/post/funding-rate-arbitrage-cross-exchange/ Thu, 05 Mar 2026 00:00:00 GMT How funding rate arbitrage works across crypto exchanges, why rates differ on Binance, Bybit, OKX and dYdX, and how to build a monitoring and execution system to extract profit from these discrepancies. algo trading funding rates arbitrage crypto Binance Bybit market making https://marketmaker.cc/kk/blog/post/questdb-algotrading-sql/ https://marketmaker.cc/kk/blog/post/questdb-algotrading-sql/ Wed, 04 Mar 2026 00:00:00 GMT Deep dive into QuestDB's time-series SQL extensions: SAMPLE BY, ASOF JOIN, HORIZON JOIN, WINDOW JOIN, LATEST ON, and real-world trading query patterns. QuestDB SQL ASOF JOIN SAMPLE BY time-series algorithmic trading https://marketmaker.cc/kk/blog/post/questdb-algotrading-production/ https://marketmaker.cc/kk/blog/post/questdb-algotrading-production/ Wed, 04 Mar 2026 00:00:00 GMT Materialized views, 2D array order book analytics, and reference architecture for a QuestDB-powered algorithmic trading platform. QuestDB materialized views order book OHLC production algorithmic trading https://marketmaker.cc/kk/blog/post/questdb-algotrading-architecture/ https://marketmaker.cc/kk/blog/post/questdb-algotrading-architecture/ Wed, 04 Mar 2026 00:00:00 GMT Deep dive into QuestDB's three-tier storage architecture — WAL, columnar storage, and Parquet on object storage — and schema design principles for algorithmic trading systems. QuestDB time-series algorithmic trading architecture infrastructure https://marketmaker.cc/kk/blog/post/data-communication-algotrading/ https://marketmaker.cc/kk/blog/post/data-communication-algotrading/ Tue, 03 Mar 2026 00:00:00 GMT We analyze communication technologies at all levels of an algorithmic trading platform: from exchange connectivity protocols (REST, WebSocket, FIX) to internal IPC, message brokers, and data stores. algotrading architecture WebSocket FIX gRPC Kafka Aeron Redis QuestDB HFT https://marketmaker.cc/kk/blog/post/loss-profit-asymmetry/ https://marketmaker.cc/kk/blog/post/loss-profit-asymmetry/ Sun, 01 Mar 2026 00:00:00 GMT Why losing 50% requires 100% growth to recover, how volatility drag destroys capital even in sideways markets, and which formulas every algo trader must know for building risk management. risk management mathematics volatility drag algo trading Kelly criterion https://marketmaker.cc/kk/blog/post/complex-arbitrage-execution-rust/ https://marketmaker.cc/kk/blog/post/complex-arbitrage-execution-rust/ Sat, 28 Feb 2026 00:00:00 GMT How to squeeze maximum performance out of Rust for multi-leg arbitrage execution: io_uring, lock-free order books, LMAX Disruptor, SIMD, type-state machines, and arena allocators. Rust arbitrage HFT low-latency lock-free SIMD algotrading multileg order execution https://marketmaker.cc/kk/blog/post/complex-arbitrage-ml-approaches/ https://marketmaker.cc/kk/blog/post/complex-arbitrage-ml-approaches/ Fri, 27 Feb 2026 00:00:00 GMT How graph neural networks find arbitrage chains in 78 ms, why RL agents show 142% annual returns against 12% for rule-based bots, and how to build an integrated system in Rust. arbitrage machine learning GNN transformers reinforcement learning Rust bayesian methods online learning futures spot https://marketmaker.cc/kk/blog/post/complex-arbitrage-vector-matrix/ https://marketmaker.cc/kk/blog/post/complex-arbitrage-vector-matrix/ Thu, 26 Feb 2026 00:00:00 GMT How the matrix of exchange rates, eigenvalues, tropical algebra, and tensor decompositions turn cryptocurrency market chaos into clear arbitrage signals. arbitrage linear algebra tropical algebra matrices tensors rust cryptocurrency optimization PCA eigenvalues https://marketmaker.cc/kk/blog/post/complex-arbitrage-vine-copulas/ https://marketmaker.cc/kk/blog/post/complex-arbitrage-vine-copulas/ Wed, 25 Feb 2026 00:00:00 GMT How to use Vine Copulas to identify hidden dependencies between dozens of crypto assets and build robust, high-dimensional statistical arbitrage strategies. arbitrage Vine Copulas statistics high-dimensional rust cryptocurrency risk management modeling https://marketmaker.cc/kk/blog/post/complex-arbitrage-futures-spot/ https://marketmaker.cc/kk/blog/post/complex-arbitrage-futures-spot/ Tue, 24 Feb 2026 00:00:00 GMT How funding rates, basis, and the convergence of decentralized and centralized markets create risk-free opportunities for capital in the crypto market. arbitrage futures spot cash-and-carry funding rate basis DeFi CeFi rust deltaneutral https://marketmaker.cc/kk/blog/post/complex-arbitrage-graph-algorithms/ https://marketmaker.cc/kk/blog/post/complex-arbitrage-graph-algorithms/ Mon, 23 Feb 2026 00:00:00 GMT How negative cycles, multi-asset graphs, and the RICH algorithm identify arbitrage opportunities in the deep cryptocurrency market with sub-millisecond precision. arbitrage graph algorithms Bellman-Ford RICH rust cryptocurrency optimization negative cycles