Aligrithm is an independent research publication on systematic trading, quantitative research, market microstructure, and adaptive systems. Long-form essays, code notebooks, and architecture breakdowns across eight pillars, built for traders who care more about how markets behave than about hype.
More about the publication →Read in order. Each pillar walks you out of one trap with one new ability. The newest article is the worst place to begin.
The book is a landscape of walls and gaps. Average density over minutes and place in front of shelves that stay stocked, weighing the edge of sitting behind size against the aggression to reach it.
Order placement, the exact tick you rest on, matters more than skewing. Sit just in front of a large sturdy order so takers can't push the price through your fill, and your markouts improve.
Blow your spreads out when volatility does, because a fixed markup that was safe in a calm tape becomes a gift to informed traders in a moving one. Around scheduled news, stop quoting entirely.
Skewing is the academic favorite and the desk's afterthought. Make one side wider so it fills less, lean harder against aggression, and skip the stochastic control. Keep it simple.
Holding some inventory is benign. Being loaded with toxic inventory by someone who knows it'll move against you kills the book. Skew exists to stop the loading, not to tidy variance.
Quote both sides with no view and informed takers hit whichever side is about to move, leaving you the losing inventory. That is adverse selection, the permanent maker-versus-taker battle.
A maker's forecast is graded only on the fills it gets, and counterparties hand you the adverse ones. A 40% model across all moves can be a 30% model on the trades you actually make.
The markout asks one question of every fill: what did the price do next? It ignores the spread you collected and the cleverness you intended, exposing toxic flow as a curve that sinks.
Fair value is the price that gives good markouts when you quote around it. If your losses realize 750 ms after a fill, fair value is where price will be then, not today's mid.
A market maker's quote is three stacked decisions: fair price, spread, skew. Fair price carries more than the other two combined, and skew, the academic favorite, is the trivial one.
Posting a bid and ask is the easy part. The money comes from forecasting fair value, dodging informed flow, and skewing thousands of weak alphas into passive quotes at zero cost.
A quoted pair hides which currency moved. Solve the whole cross matrix jointly and each currency's strength decouples, giving X-ray vision through the quotes, fixed only up to a normalization.