2/ Let's start with Binance. The coveted "nl" flag is, alas, a joke. However, the portfolio margin program has the same effect! Instead of doing margin checks on every trade, Binance will trust you and do the risk checks client side. It's effectively how tradfi futures work.

3/ If you benchmark the order entry, you will see the latency decrease from hitting the matching engine directly. This is a moat for newcomers trying to compete on the most latency sensitive strategies, as there are volume prerequisites before you can enable portfolio margin

4/ Moving onto the counterparty label joke. This one is based on Brazilian futures, which labels the broker ID of both sides of every trade. Some of these brokers serve more retail clients. Also it's easier to detect autocorrelated flow when it's segmented like this.

5/ There is quite a bit of rich structure in the broker ID data. Not sure why the exchange includes them, but it's one of the most popular HFT datasets. Maybe by looking at signals you pick up here, you can gain insight into how people execute on other more anonymous exchanges.

6/ You can look beyond explicit labels to understand flow too. For example, if you see an order cutting in on a volatile symbol, you can assume that's HFT most of the time. If you see a trade take out many levels and the price quickly revert, maybe that's more likely retail.

7/ Anyway, that's enough trolling until next April. If you wasted any time investigating the April fools effects, I hope you found solace and alpha in this followup thread.

@chameleon_jeff haha man....u sld write a substack "how i passed the risk engine control test easy without having sufficiant margins for my trade" 😁😇

@gutsareon Maybe I will start writing somewhere else too. Twitter is great for the community, but a pretty bad platform for content.

@chameleon_jeff Now delete

@chameleon_jeff @threadreaderapp unroll #HFT