Is it overkill to make my own market maker to handle system orders? So instead of sending to exchange, it'll send to internal market maker, and the marker maker can lean on any side of the book @ exchange to fill my other system Would be fun to make one for learning purposes
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I think largely dependent on your typical sizing relative to liquidity also. If your strategy allocates capital evenly across the 5 most liquid perps, this is a lot less urgent than if you make huge bets in some long tail altcoin.
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Even in the latter case, doing simple execution and sourcing liquidity across multiple venues probably shows better improvements than some very exotic execution algo trying to beat vwap on a single venue.
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