The busiest day in his published file is 21 June 2021. 28,402 fills in 24 hours.

Every single one of them was a limit order. Not one market order.

92% of those fills added liquidity. He was the one sitting on the book, not the one crossing the spread.

That day BTC was breaking. His own fill prices run from 35,400 down to 31,925.

80% of what he did was selling: 22,865 sells against 5,537 buys.

He ran three instruments at once. XBTUSD 12,259 fills, ETHUSD 9,907, the September future XBTU21 6,104, plus a handful of DOGEUSDT.

Execution cost that day adds up to roughly 11,170 BTC of notional.

Result on the day: +47.8 BTC realised.

It was not clean. ETHUSD gave him +60.1 and XBTUSD +13.7, while the September future took -26.0.

His fills cluster in two blocks: 04:00 to 06:00 UTC, then again around 13:00 UTC.

That is 11,282 fills in the first block alone. Roughly three per second at the peak of it, by hand, in a browser.

The part worth sitting with: on the day the market broke, he was supplying liquidity into it with limit orders, in size, while wearing a loss on one of his three legs.

Measured by us from his own published execution file. Prices above are his fills, not an index. Not investment advice.

Source (his own release post): https://gall.dcinside.com/mgallery/board/view/?id=chartanalysis&no=5051684

#Bitcoin #BitMEX #TradingData #Liquidity