GLFT Optimal Market Maker

What It Does

GLFT quotes both sides of the order book around fair value, earning the spread while keeping inventory in check. Where the Perp Market Maker uses hand-tuned rules, GLFT computes its bid and ask placement from the Gueant–Lehalle–Fernandez–Tapia model — a closed-form solution from academic market-making research. Quotes automatically widen when volatility rises and skew to shed inventory when a position builds up, with far fewer knobs to turn. In plain terms: the bot continuously asks “given how jumpy this market is, how often orders are arriving, and how much inventory I’m already holding, what is the mathematically best price to bid and ask right now?” — and re-answers that question twice per second.

GLFT is in ALPHA. It is fully functional, but parameter defaults may evolve as production data accumulates. Start with a conservative preset and small sizes.

How It Works

The GLFT engine

The engine derives optimal bid/ask offsets from mid-price using three live inputs:

      ┌─────────┐      ┌───────────┐      ┌─────────┐
      │  Gamma  │      │   Sigma   │      │  Kappa  │
      │  (risk  │      │ (realized │      │ (order  │
      │aversion)│      │volatility)│      │ arrival)│
      └────┬────┘      └─────┬─────┘      └────┬────┘
           └─────────────────┼─────────────────┘
                             ▼
                   Optimal spread calculation
                             │
              ┌──────────────┴──────────────┐
        BID: mid − δb                 ASK: mid + δa
              (both skewed by current inventory)

Gamma (risk aversion, default 0.01) — how strongly the engine penalizes holding inventory. Higher gamma → wider spreads, smaller positions.
Sigma (realized volatility) — measured from recent prices. More volatility → wider optimal spreads.
Kappa (order arrival rate) — estimated from order-book liquidity and refined by the Cartea–Jaimungal trade-intensity estimator. Busier books → tighter spreads, because fills come faster.

Inventory skew

The model’s key property: quotes become asymmetric as inventory builds.

NEUTRAL (q = 0):                 LONG inventory (q > 0):

  ASK: $100.08                     ASK: $100.05  ← tighter (eager to sell)
  MID: $100.00                     MID: $100.00
  BID: $99.92                      BID: $99.90   ← wider (reluctant to buy more)

The strategy works its own inventory back toward zero without manual rules.

Key Features

Regime detection — ADX-based classification (ranging / trending / volatile) scales gamma: tighter quoting in ranges (0.7x), defensive against-trend quoting (1.5x), wider in volatile regimes (1.3x)
Grid breathing — spacing widens with drawdown (base 150 bps) and each side (long/short) breathes independently on its own P&L, with smoothing so transitions don’t whipsaw
Mantis spread — composite microstructure signal (book imbalance + aggressor trade flow + Cartea–Jaimungal arrival estimate) that shades the quotes
Squeeze detection — monitors funding extremes and open-interest shifts for squeeze conditions
Inventory TP — take-profit targets tighten exponentially as inventory grows: small positions wait for full profit, large ones exit faster
Time decay — TP targets decay on positions older than 15 minutes; maximum-hold times depend on regime (320 min ranging / 240 volatile / 120 trending)
Dynamic sizing — quote size scales between a base and max ( $10→$ 15 conservative, $25→$ 50 BloFin aggressive) with conditions
S/R snapping — quotes snap up to 5 bps to nearby order-book walls (≥ $500) so they rest behind real liquidity
Multi-symbol — one bot instance runs up to 5 symbols (multi presets ship with BTC, ETH, SOL, SUI, XRP), each with independent state and recovery

Supported Exchanges

BloFin

Requires API key, secret, and passphrase
Configured fees: maker 2 bps, taker 6 bps
WebSocket orders and data streams

Bybit

Requires API key and secret only
Auto fee detection — fees read from your account, no manual config
WebSocket order management

All current GLFT presets on both exchanges run 20x leverage.

Available Presets

GLFT ships with 8 presets — conservative and aggressive, single- and multi-symbol, on both exchanges. In the Marketplace they appear as 4 cards with a Bybit/BloFin toggle. All values below are read from the actual preset configs.

BloFin
Bybit

Preset	Min Profit	Quote Size	Max Position	Drawdown Stop	Leverage
Conservative	16 bps	$10 (→$ 15)	$500	$100	20x
Aggressive	12 bps	$25 (→$ 50)	$2,000	$500	20x
Multi Conservative	16 bps	$10 (→$ 15)	$500/symbol	$100	20x
Multi Aggressive	12 bps	$10 (→$ 20)	$1,000/symbol	$500	20x

Preset	Min Profit	Quote Size	Max Position	Drawdown Stop	Leverage
Conservative	14 bps	$10 (→$ 20)	$500	$200	20x
Aggressive	14 bps	$10 (→$ 20)	$1,000	$200	20x
Multi Conservative	14 bps	$10 (→$ 20)	$500/symbol	$200	20x
Multi Aggressive	14 bps	$10 (→$ 20)	$1,000/symbol	$200	20x

Single-symbol presets default to BTCUSDT; multi presets run BTC, ETH, SOL, SUI, XRP. After the drawdown stop fires, the symbol pauses for 300 seconds before resuming.

GLFT presets appear in the Marketplace under the GLFT MM family filter, tagged ALPHA. See the Preset Selection Guide.

Key Parameters

Parameter	Description	Conservative	Aggressive
`min_profit_bps`	Minimum profit target per round trip	14–16	12–14
`quote_size_usdt`	Base quote size per order	$10	$10–$ 25
`max_position_usdt`	Maximum position per symbol	$500	$1,000–$ 2,000
`leverage`	Leverage multiplier	20x	20x
`glft_gamma`	Risk aversion (higher = wider, smaller)	0.01	0.01
`grid.levels`	Quote levels per side	2	2
`risk_management.max_drawdown_usdt`	Hard stop per symbol	$100–$ 200	$200–$ 500
`loop_interval_seconds`	Quote refresh interval	0.5s	0.5s

Grid configuration

grid.levels

integer

default:"2"

Quote levels per side. Level 1 sits at the GLFT-optimal price, Level 2 a further offset out.

grid.spacing_bps

array

default:"[0, 20]"

Offset per level from the GLFT-optimal price: Level 1 at the optimum, Level 2 20 bps wider.

grid.size_pct

array

default:"[0.6, 0.4]"

Size split per level: 60% at Level 1, 40% at Level 2.

grid.regime_adjust

boolean

default:"true"

Scale grid behavior by detected regime (ranging / trending / volatile).

grid.inv_skew

boolean

default:"true"

Inventory-based quote skewing — quotes less on the side that would grow inventory, blocks adds entirely past 75% of the position cap.

grid.per_side_breathing

boolean

default:"true"

Long and short sides widen independently based on their own drawdown and age.

Recovery Grid

When a position goes underwater, normal quoting on the losing side is suppressed and a recovery system takes over.

Detection

Underwater position detected; grid adds on the losing side stop (suppress_grid_adds: true).

Order-book analysis

orderbook_dca mode scans for the strongest support (longs) or resistance (shorts) walls within a recovery range computed from the last 8 hours of 15-minute price action.

Placement

Up to 2 recovery orders are placed at those walls — at least 1% from the last fill, at least 1% apart, and at least 3% from the current price.

Scaled sizing

Recovery order size scales with drawdown depth: +50% of the position at 5% unrealized loss, +100% at 10%, +150% at 20%.

Safety rails: DCA pauses during sharp price spikes (15m candle check), orders are only reposted when price moves more than 0.1%, and the recovery range re-anchors if the entry drifts more than 10%.

The recovery grid is not a loss guarantee. In a strong trend it adds to a losing position; the max_drawdown_usdt hard stop is the final safety net.

Risk Warning

Market making involves significant risk. GLFT-specific risks:

Inventory risk — despite optimal skewing, strong trends can build a full-size position before the stop fires
Recovery risk — the scaled recovery sizing adds to losers; in severe moves this deepens the final loss at the stop
Leverage — at 20x, a 5% adverse move equals 100% of position margin
Liquidity — on thin tokens the optimal spread may not cover adverse selection
Alpha status — defaults may change between updates

Only trade funds you can afford to lose. Start conservative and monitor closely.

GLFT vs Perp Market Maker

Aspect	GLFT	Perp MM (XGrid family)
Quoting method	Closed-form academic equations	Heuristic rules
Parameters	~20 key settings	100+
Spread derivation	Automatic from volatility/flow	Manual `base_spread_bps` + modifiers
Inventory management	Built-in penalty function	Configurable skew factor
Recovery system	Order-book DCA with scaled sizing	XGrid counter-scalp + loss tiers
Leverage (presets)	20x	75x
Best for	Fewer knobs, model-driven quoting	Full customization

Next Steps

Vaults

Deploy GLFT through managed vaults

Preset Guide

All presets across strategies and exchanges

Perp Market Maker

The heuristic-rules alternative

Bot Management

Deploy, monitor, and manage bots

​GLFT Optimal Market Maker

​What It Does

​How It Works

​The GLFT engine

​Inventory skew

​Key Features

​Supported Exchanges

BloFin

Bybit

​Available Presets

​Key Parameters

​Grid configuration

​Recovery Grid

​Risk Warning

​GLFT vs Perp Market Maker

​Next Steps

Vaults

Preset Guide

Perp Market Maker

Bot Management

GLFT Optimal Market Maker

What It Does

How It Works

The GLFT engine

Inventory skew

Key Features

Supported Exchanges

Available Presets

Key Parameters

Grid configuration

Recovery Grid

Risk Warning

GLFT vs Perp Market Maker

Next Steps