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Quantitative Finance · Glossary

What is Hedge venue?

Definition 24.2 Market Making and High-Frequency Trading · Chapter 24 — Crypto High-Frequency Trading on Centralised Venues

A hedge venue is the exchange on which a cross-exchange market maker offsets the positions its quotes accumulate on another: usually the deepest book for the coin, where its takes move the price least and whose price the maker uses as its fair value.

A cross-exchange market maker: it quotes the perpetual on one venue around the fair price read from the spot book of another, hedges each fill there by taking, receives or pays funding on its perpetual position every eight hours, and can move its quotes only as often as its request budget allows. Source: this chapter.
Figure 24.1. A cross-exchange market maker: it quotes the perpetual on one venue around the fair price read from the spot book of another, hedges each fill there by taking, receives or pays funding on its perpetual position every eight hours, and can move its quotes only as often as its request budget allows. Source: this chapter.
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