Ernie.QT

CA012: Hyperliquid Fees Structure Analysis ($HYPE)

之前搞咗個投票問關於有幾多人係主要係用Hyperliquid做trade，其實結果比我想象中高。以前一直話有機會嘅話分析下Hyperliquid ，呢度講下最近Hyperliquid propose咗嚟緊會改佢哋個Fees Structure，中間有啲咩轉變同埋用量化嘅角度去睇點樣玩抵啲。

Old Fees Structure

New Fees Structure<...

2025-04-04 12:10:38 +0000 UTC View Post

Live Class Time Preference

如果有線下傾過計嘅朋友仔都會知道，我而家籌備緊搞live班，暫時plan Q3開班，內容我大概定咗8成左右。呢度要麻煩講過有興趣嘅朋友仔投一投票，有冇咩time preference。

甚至如果有咩topic 想cover嘅都可以DM我！內容遲啲會announce !

• Weekday Night
• Weekend Afternoon

FDUSD Depeg (2nd April)

4月頭Crypto CEX其實都發生咗唔少事，有莊家liquidate細幣離場，有呢篇文講下關於最近發生嘅穩定幣FDUSD depeg。FDUSD本身Market Cap 2-3B左右，同USDE, USDT, USDC唔係同一個檔次，所以可能少啲人留意。

Background

件事本身係由Justin Sun係X (Twitter)出post，內容係講關於First Digital Trust (FDT)係i...

Algo Trading (Part 3: BTC Return & Strategy Idea Generation)

今次呢篇文原意係同大家去計吓假如大家係唔同日子之前買BTC，果日回報大概會係點。而且近排市場跌返少少，唔係鼓吹大家即刻去撈底，不過可以用嚟做吓reference，每個人判斷唔一樣。不過中間做嘅時候就同AI傾咗陣偈，之後就整咗條demo出嚟，所以會喺度講吓點樣將啲新嘅idea。

Background Info

數據全部Google都可以搵到，呢次直接喺Binance拎現貨Daily...

Solana CME Futures

呢度提早講吓關於Solana CME Futures，佢嘅spec就未知，大size contract 500 SOL，細size 25 SOL。之後應該會有多啲人講，雖然咩數據都未有，不過呢度都可以提早講一講我期望嘅嘢同認知。

Specification

• 我寫呢篇文嘅時候應該未exactly出contract spec, 不過大家可以參考BTC CME Futures同ETH CME Futures。佢本身個size應該預咗唔係target retails玩。以往呢啲listing其實係bear...

  2025-03-17 19:10:36 +0000 UTC View Post

CA011: Current Market State

上次去完學生聚會，有幾個唔同嘅學生不約而同話內容有啲困難，所以呢篇直接啲用數據分析Trump上任之後市場究竟發生咗咩事。

Binance Funding Rate

• 我抽咗Trump上任之後12月到今年3月15，Binance USDT嘅funding rate，拎晒所有現有USDTM嘅perpetual，計佢哋嘅平均數，之後用histogram計返annualized。宜家有4hrs所以入面Python script都handle埋，可以改善嘅有去remove一d細�...

  2025-03-16 14:55:28 +0000 UTC View Post

Crypto Market Insight (2025 Part 1)

呢度大部份內容我係2月20上次個免費講座有提過好片面，深入少少嘅放喺度講多少少。果次講座定嘅方向係2025市場趨勢。利申：我唔係一個手炒勁嘅trader，唔識劃線同炒短線hot topics，市場亦經常變動，講嘅內容只係呢一刻個人主觀感覺同自己觀察，並非投資建議，NFA。

我將佢分開咗呢幾個sub-topics去討論：大趨勢，炒作話題，之後可以出現嘅情景，同埋現象同個人...

Bybit Hack - ETH trade

星期五晚Bybit比人hack咗偷咗400K+ ETH之後，大家除咗要諗拎唔拎錢出嚟之外，或者身邊有朋友走去買$HYPE，身邊會再有一班諗深一層去炒ETH。雖然星期五晚，Ben話借bridge loan去應付ETH withdrawal需求，唔會係市場上買。現實就係佢地本簿宜家就係net short 400k+ ETH exposure，只係ETH升10%，佢地mark-to-market就輸咗佢比bounty嘅錢。所以佢哋仲係唔會想有太多時間有short exposure，我代入佢角度嘅...

項目方召集 (Market Making)

呢度宣傳一下，我而家有幫項目方提供流動性，如果有讀者係項目方入邊做，或者有朋友需要呢個服務，不妨PM我，格下價又好。出面而家好多牛鬼蛇神，一係就嗰幾間壟斷咗收費好貴。

Python Concurrency (Part 2: I/O-bound task solution)

呢篇文會延續返Part 1講嘅內容，都係target一啲advance少少同有接觸Python嘅讀者。Part 1提到大部份嘅tasks都係離唔開兩樣嘢，IO-bound & CPU-bound。後者其實唔使特別多講，因為主要係牽涉兩樣嘢，一係你有幾多資源去做運算，另外就係本身script夠唔夠efficient。

呢度我想討論嘅topic係前者多啲，上一部份有提到如果要解決IO-bound task係可以用Multi-threading，多線程。呢次喺度...

Illiquid Investment (Part 2: OTC Secondaries)

上一篇文講到Venture Investing，呢篇就講吓投完一級市場之後，其實仲有好多花臣可以玩，而且市場好唔透明，都係有朋友介紹，所以先認知多少少。呢次要講嘅topic係Over-the-counter Secondaries。

Secondaries (Secondary Transactions)

• 喺Secondaries入面，現有嘅股份（而唔係新發行嘅股份）會賣畀一個新嘅買家，唔似第一輪融資嘅資金 (即係發行全新嘅股份)，Sec...

  2025-02-09 00:00:02 +0000 UTC View Post

Algo Trading (Part 2: Backtest Candlestick Patterns)

呢篇文延續返上次點樣啱啱入手嘅朋友去玩algo trade，呢度會用Googlesheet/excel做例子，之後嘅文會慢慢加Python元素入去。上篇文提到Trading Ideas可以用Candlestick Pattern，所以呢度會用呢啲pattern做下demo，講吓點樣入手砌一啲策略出嚟。

Background Info

呢度加少少背景，本身Candlestick Pattern係源自日本，每條candlestick係由Open, High, Low, Close組成，根據唔同嘅timefra...

Common Alpha 010: Feature Importance & Generation

The content will talk about some of the useful packages I have used when I tried to build trading strategies using a Machine Learning framework. The content will be split into 3 parts, faster computation method in Python, feature generation & in machine learning & feature importance.

A faster computation can help a lot especially in generating new features when the dataset is large enough, and it reduces the time spent on pre-processing the data.

Faster Computation...

2025-01-29 13:52:47 +0000 UTC View Post

Illiquid Investment (Part 1: Venture Investing)

呢度會開個系列講多啲illiquid investment，本身我唔係特別熟呢類非二級市場，機緣巧合之下識到啲新嘅朋友，所以試吓分享。

我自己本身以為投一級市場min tick同投二級基金一樣，可能最起碼100/250K起跳，對於本身做二級量化交易嘅我嚟講，好難說服要lock up最少1/2年liquidity。直至上一季見多咗唔同人之後擴大咗認知，呢度講下點樣有一級市場嘅exposure。

2025-01-19 00:00:02 +0000 UTC View Post

Python Concurrency (Part 1)

呢篇文target一啲advance少少嘅讀者，如果大家已經開始用Python上手backtest，可能會令大家知道點樣improve唔同嘅範疇。

大部分algo trading嘅task其實離唔開兩樣嘢，一個就係運算，另一個係request等data返，呢度可以係交易所落盤定係第三方API數據。前者關CPU (Central Processing Unit)，後者就關I/O (Input/Output operation)。下面就會講深入啲。

I/O-bound & CPU-bound...

Algo Trading (Part 1: Entry)

上次寫咗入門學Python Programming 可以嘅Materials，有朋友本身識programming之後就問有冇algo trade教學。咁我之後每個月就寫下由入門角度去學algo trade嘅指南。呢次會講關於整體有咩範疇要熟悉同點樣開始。

我會以呢幾個範疇去講解：

• Programming

• Trading Ideas

• Statistics

• Data

Programming

本身algo trade其實�...

Gitlab Not Supported in HK

希望大家都過咗個愉快嘅聖誕節。之前前後病咗兩次，所以少更新咗Patreon 同IG，近一兩日不約而同有學生同朋友都問我關於 Gitlab唔再support香港，我都係啱啱先知。如果你係我學生或者嚟緊想報我HKPTRC嗰班而你都係啱啱先知呢個消息，咁你可能可以繼續讀落去。

Gitlab 俾咗一個零月俾返user 去做migration，我本身有90% code 都係用Gitlab 上platform，所以都深受影響。暫時我個諗�...

幣本位可以做咩好？

呢篇文想同大家一齊brainstorm一下如果大家本身有HODL BTC可以點樣增加yield。

如果大家倉底有BTC唔會諗住放，呢個cycle基本上以對Fiat嚟講都一定已經好滿意，但作為trader如果同BTC做benchmark，其實全倉BTC只係同大市一樣走勢，冇跑贏大市。所以下一個問題就係如果大家都有BTC，點樣可以跑贏大市。

第一個選項係最簡單借BTC出去，不過回報並唔係太吸引。OKX Lend...

Common Alpha 009: DSR - Alternative Metrics

This content is to introduce a new metrics that has been proposed in financial engineering world in this recent years. It is the ‘Deflated Sharpe Ratio (DSR)’, that actually helps to reduce a lot of blind spots of only using Sharpe Ratio.

Probabilistic Sharpe Ratio (PSR)

Before talking about DSR, here I will use a simple example to explain why purely Sharpe Ratio itself is not a good enough metrics to evaluate strategies & introduce a new term ‘Probabili...

Common Alpha 008: Market Impact Analysis

Market Impact Analysis

Introduction

This content is to discuss how to measure & conduct analysis on market impact in an execution. For any electronic desk & any algo trading strategies, it is crucial to know how much transaction cost is since a minor change in cost can result in turning a profitable strategy into a losing one.

Transaction Costs = Explicit (commissions and fees) + Implicit (slippage)

The explicit cost is kind of fixed & know...