FMEX transaction unlocked to optimized order quantity

FMEX has recently come out with a restart scheme, and has developed rules similar to the original trading mining for debt unwinding, the unwinding of transactions is more complex, this article will give a list of schemes to determine when it is profitable, and the optimal order quantity. Although one should not step into the same pit twice, but in the case of FMEX with debt, it may be useful to refer to the specific real-time strategy that can be run on the FMZ quantification platform.

The article on optimization related to sort unlocking has also been published:https://www.fmz.com/digest-topic/5843

FMEX trade unlock rules

The daily transaction unlock amount will be calculated in two parts, which will be added together and returned the next day. Each part will return 50% of the transaction amount for the day.

The method of calculating the user's return on a transaction to the transaction unlock amount available on that day is:

The transaction unlocks 50% of the return margin for the daily transaction * User's completed transactions in the transaction pair / Total transactions of the transaction pair for the day.

The method of calculating the user's return on a transaction to the transaction unlock amount available on that day is:

Defined as a transaction unlock cycle every 1 minute of the day, each cycle allocates the transaction to 1/2880 of the transaction unlock margin for the day. Within each cycle, the return margin of the transaction unlock cycle is allocated according to the proportion of the user transaction volume.

The sum of the amount returned by the user on that transaction for each transaction unlock cycle, i.e. the amount returned by the user on that transaction for the unlock amount available on that day.

The first part is settled on a daily basis and cannot be calculated in advance. Here we will mainly optimize the second part, which is the minute trading unlock cycle.

Minute trading unlocks gains

According to the rules, the user unlock limit ratio of each cycle is equal to the percentage of the volume of user transactions in the cycle, the cost is included, the loss of the settlement, etc. Apparently, during the minute cycle, you can not expect to hang a transaction, the transaction fee needs to be calculated on a feed order basis, if the transaction is sold immediately after the transaction, it will result in a $0.5 settlement loss ((FMEX minimum hanging order price change)).

The unlock rate per minute can be calculated using the following formula:

Where G is the unlock gain, a is the order quantity, B is the total BTC unlocked in the cycle, p is the BTC price, V is the volume of transactions completed in the cycle, f is the transaction fee, and l is the expected loss of the settlement.

Unify the loss of the transaction to c, and the formula is simplified to:

Obviously, the larger the volume of cycle V, the harder it is to unlock.

Assuming the total value of BTC unlocked in the cycle is $100, and the average cost is $5,000, then when V is greater than $20,000, the transaction mining is not profitable (i.e. the first part of the return is not taken into account)

Optimization of the best order

Since the unlock limit is based on the ratio of transactions, if only $1 is ordered, it will unlock very little, if $100,000 is ordered, the cost will be high, and there may be a loss, during which there is an optimal order quantity. Directly seeking, the derivative is 0 means seeking the optimal order quantity a ((a less than 0 indicates no order):

Similarly, if the total value of the BTC unlocked in the cycle is $100, i.e. B*p=100, the transaction cost c=0.0005, and when the volume of transactions in the cycle is V=1000, the lowest single amount a=13,142 USD is unlocked, G=79.2 USD. If the cost c=0.001, then a=9000, G=77 USD.

When V = 10000, c = 0.0005, a = 34721, G = 28. You can see that the larger the volume of transactions in the cycle, the larger our next order volume will also be, and the smaller the return.

Special case, when V = 0, a = 1 (minimum lower unit quantity).

Problems with disks

The biggest problem is not knowing what the volume of transactions will be in each cycle, we want to order the last 1s, surely many people also wait for the last second to order, which will interfere with the calculation. The real disk can be optimized according to the specific situation, such as taking into account the amount of the last order, or a custom cycle for half of the previous cycle plus half of the cost cycle, not taking the last second, etc.

There are also many who are willing to unlock losses and can set the transaction cost c to be lower than the actual cost.

If you want to settle immediately after placing an order, the transaction volume should be reduced by half from the minimum, and the cost c corresponds to the procedure fee plus about 2.5 thousandths.

This article was originally published on FMZ's Quantitative Platform, with a footnote:https://www.fmz.com/bbs-topic-new/5834