Blend Mode

Blend Mode allows you to quote based on a blend of prices from two exchanges (the exchange you want to market make on and an exchange of your choosing). You can adjust the weighting of the average of prices used. This is particularly useful when trading on less liquid exchanges where local price volatility may not accurately reflect market pricing.

Blend Weight Modes

0% = Uses prices from the exchange you are going to market make on

50% (Default) = Equal weighted average of prices bewteen your exchange and another exchange's pricing

100% = Uses the prices of another exchange completely.

Behavior: Instead of quoting purely based on your chosen exchange's mid price, the bot averages it with a reference price from another exchange (typically a larger, more liquid venue). Orders adjust as both prices change, helping your bot position its limit order for mean reversion when your chosen exchange prices diverge from the broader market.

You're still market making on your original exchange, but your quotes are informed by the reference market's pricing.

Use-case:

For a given asset, price should theoretically be the same on different exchanges, however in practice there is often minor divergences. Occasionally these price divergences could be particularly large especially between smaller exchanges and bigger ones, or for less liquid tokens across different exchanges.

By blending with a more liquid reference market, your bot quotes at prices that anticipate convergence rather than following potentially misleading local movements.

Example Use Case:

You're market making ETH:PERP-USDT on a smaller exchange where:

• Local mid price: $2,000 (but volatile due to thin liquidity)

• Reference price (larger exchange): $2,050 (more stable, higher volume)

• Blended price: $2,025

Your bot quotes around $2,005 instead of $2,000, positioning to profit when the smaller exchange's price converges toward the larger market's price.

Numerical Examples of Spreads

Example with Mid Price + 5 bps:

• Reference Price (Mid): $50,050

• Buy Limit: $50,050 × 0.9995 = $50,024.98

• Sell Limit: $50,050 × 1.0005 = $50,075.03

• Profit per unit: $50.05 (minus fees)

Example with Grid Mode + 1 bps:

• Sell executes at: $50,000

• Buy Limit: $50,000 × 0.9998 = $49,990 (2 bps below sell's executed price)

• Gap maintained: $10 between the limit prices

• If buy executes at $49,990, profit = $10 per unit (minus fees)

Example with Grid Mode + 0 bps:

• Sell executes at: $50,000

• Buy Limit: $50,000 (no spread adjustment)

• Both legs can execute at the same price, but the limit prices maintain the grid structure