quant trading workflow

quant trading workflow in crypto

1. data process
2. statical analysis of trade data and orderbook data, to check anormal data and bad trade execution
3. research market event
4. imporve strategy model and its parameter

example 1: In multi-cryptocurrency trading scenarios, when calculating profit and loss (PnL), it's necessary to convert profits and losses from different coins into a unified pricing unit (typically a stablecoin like USDT). If this standardization conversion is not performed, the avg Pnl significantly greater than mean value, maybe the problem come from the null value in datasets.

example 2: we have a trade data and a BBO data, and we should analysize our trading quality, if we use the VWAP

method to analysize, we should use the previous and next BBO data to calculate the VWAP market price to compare our trade's price.