One more suggestion,
You could rethink your Kraken credit FEE (PFEE) feature.
It complicates any model which want to tightly fit into the market environment.
I would prefer to have 0.05% discount on each trade permanently, or even get nothing but funds paid out as FEE could utilized internally in kraken for investments into people/techs/support. This feature is not model-friendly.
Thanks for the suggestion - KFEE aren't intended as a permanent discount, but I understand that this makes it hard to incorporate the discount into your trading model. You can still run your model assuming the normal trade fees and get a little bit of extra savings since your trade fees are paid for with the KFEE for a while. That's still a benefit.