GDAX was a cryptocurrency trading platform which offered 0% maker fees and slight taker fees.
Taker fees are fees made to the platform, GDAX, for ever trade made when you are the price taker, meaning you trade instantely at whatever the current price is.
Maker fees are fees made to the platform for ever trade made when you are the price maker, meaning you set a price to sell/buy at, and the platform will make the trade when the asset reaches your set price.
Given that it was free to trade when being a price maker, I had constructed a simple trading bot using the GDAX Python API to trade at a relatively high frequency. I did not use any well-known algorithms, but rather had fun with it and made my own. I used a discrete-time analysis of various cryptocurrency prices (primarily Bitcoin and Ethereum), calculated predicted prices using a simple second derivative of the past N datapoints, etc. This resulted in setting trades above and below the current price at a specified threshold to approximately "buy low" and "sell high". The algorithm, after many iterations, was a success. See Personal Statement for results.
However, due to a bug with the GDAX API (or perhaps with large latency between my computer and GDAX servers), a certain percent of my price maker trades were being interpretted as price taker trades. Meaning, I would be losing money due to the high frequency amount of trades, thus a high frequency amount of fees.
Personal Statement:
Summer/Fall of 2017, there was a large boom in cryptocurrency interest, use, and trading. This was right before the time Bitcoin had reached a peak value of roughly 20,000 USD in late December 2017. Being interested, but never having worked with cryptocurrency, I research some platforms to conduct trading with little-to-no trading fees. That's when I found GDAX (now called Coinbase Pro), which offered a 0% maker fee and a slight taker fee (explained in Overview).
I decided to derive an algorithm to buy low and sell high for certain cryptocurrencies by being a price maker. The algorithm itself was extremely successful. When I ran the bot without making trades, but rather displaying when I would theoretically buy/sell, I was profiting off of unusual peaks when when the price, on average, was decreasing.
I put in a small 100 USD to start trading. Incredibly, I made a 20% return for a total of 120 USD. But, as I outlined above, there was some unreliability of the GDAX API which caused my trades to be interpretted as price taking, hence a <1% fee was slapped onto a large chunk of my transactions. I had made more than 20 USD, but once I started to notice the gradual decrease, I stopped the bot and called the project at 120 USD, as 20% return is still impressive, and I made the easiest 20 dollars of my life.
I had originally intended to pull my 100 USD back from GDAX, and keep the bot running for the hell of it with whatever initial profit I had made, but decided not to for the following reasons:
GDAX API unreliability with setting price maker trades was highly unappealing
Bitcoin bubble was about to burst, and I did not want my money in when it did
