Scalping Algorithm Development
A trader loses profit due to 0.02% slippage? In scalping, every microsecond decides the trade outcome. We design algorithms that squeeze every fraction of a percent from the market: from requirements gathering to deployment on your infrastructure. We assess the project within 2 business days and propose a solution aligned with your capital and risk profile. Contact us — we help increase profitability through micro-movements of the market. We work with Binance, Bybit, and OKX, using Python asyncio, ClickHouse, and Grafana. Our team has 5+ years of experience in high-frequency trading.
Why Commissions Are the Scalper's Main Enemy
With daily turnover exceeding capital by 10 times, every commission basis point becomes decisive. We shift execution to maker orders and configure the order book to earn rebates from exchanges. On average, this boosts net-profit by 15–20% compared to aggressive execution. Example: on a stream of 1000 trades per day, a 0.02% fee difference saves $200 with an average trade volume of $1000.
How We Achieve Latency <1 ms
We use Python asyncio + websockets to receive aggTrades in real time. For minimal latency in critical sections, we employ C++ modules. Data is stored in ClickHouse, monitoring via Grafana. The algorithm runs as a daemon with auto-reconnect. On one project for Binance, we achieved RTT latency of 0.8 ms (to a server in Tokyo) — this allowed entering positions 0.05% earlier than competitors. With 500 trades per day and an average volume of $2000 each, a 1 ms delay causes slippage of about 0.01% (in a volatile market). Optimizing to 0.8 ms reduces losses by $20 per day, or about $6000 per year over 300 trading days.
Typical Scalping Strategies
| Strategy | Principle | Target | Risks |
|---|---|---|---|
| Order book imbalance | Imbalance > 3:1 | 0.1–0.15% | False imbalances |
| Tape reading | Aggressive trades (aggressors) | 0.1–0.2% | Noise patterns |
| Spread scalping | Pair of limit orders on bid/ask | Spread + rebate | Market skew |
| Microstructure momentum | First candles after impulse | 0.15–0.25% | Quick reversal |
What Backtesting Produces Realistic Results?
Standard OHLCV testing is useless for scalping — it ignores microstructure. We use tick-level backtesting: historical aggTrades from the exchange with order book simulation. Slippage, spread, and fees are accounted for. Key metrics: profit factor > 1.5, average win/average loss > 1.2, maximum drawdown < 5%.
Comparison of Order Execution Methods
| Method | Commission | Slippage Risk | Applicability |
|---|---|---|---|
| Taker (market) | 0.04–0.07% | High | Immediate execution |
| Maker (limit) | 0–0.02% + rebate | Low | Liquidity provisioning |
| Post-only | 0–0.02% | Medium | Guarantee maker status |
What's Included in Scalping Algorithm Development
- Documentation: strategy logic description, risk management, execution parameters.
- Module code: order manager, risk manager (with tight stop-losses), reconciler.
- Backtesting report: runs on historical ticks with metrics.
- Deployment and configuration: on your infrastructure or VPS near the exchange.
- Monitoring: Grafana dashboards with key indicators.
- Support: 2 weeks post-launch, strategy adjustment based on results.
Turnkey Development Stages
- Market microstructure analysis — exchange selection, tick data collection, latency assessment.
- Module design — order manager, risk manager (including tight stop-losses), reconciler.
- Backtesting and optimization — run on historical tick data, parameter tuning.
- Deployment — on VPS in the same datacenter as the exchange, monitoring via Grafana.
- Support and refinement — 2 weeks after deployment, adjustments based on trading results.
How Long Does a Project Take?
From 3 to 6 weeks depending on strategy complexity and number of integrations. Cost is calculated individually — contact us for an estimate.
Our Experience
5+ years in crypto trading, 30+ implemented algorithms. We work with Binance, Bybit, OKX. We guarantee no reentrancy in logic — all orders are checked for idempotency.
For details, contact us. Get a consultation on your strategy and increase profitability through market microstructure.
Additional context on scalping.