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Proper Avellaneda-Stoikov: reservation price + optimal spread model

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ramseshk
2026-08-06 08:00:08 +00:00
parent 50f8f4f970
commit a5de7d526f
2 changed files with 171 additions and 11 deletions
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live/node.py
+54 -11
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@@ -344,6 +344,11 @@ async def main():
STRATEGIES[strat]["fee_paid"] += abs(fee)
if closed_pnl > 0:
STRATEGIES[strat]["wins"] += 1
# Track position for AS model
if side == "B":
STRATEGIES[strat]["position"] = STRATEGIES[strat].get("position", 0.0) + sz
else:
STRATEGIES[strat]["position"] = STRATEGIES[strat].get("position", 0.0) - sz
STRATEGIES[strat]["pnl_pct"] = STRATEGIES[strat]["pnl"] / STRATEGIES[strat]["allocation"] * 100
strategy_equity[strat].append({"t": time.time(), "v": STRATEGIES[strat]["allocation"] + STRATEGIES[strat]["pnl"]})
if len(strategy_equity[strat]) > 1000:
@@ -420,20 +425,58 @@ async def main():
if has_position:
continue # Don't replace existing orders
# Avellaneda-Stoikov: DUAL-SIDED (always active)
# Avellaneda-Stoikov: proper optimal control (reservation price + spread)
if name == "Avellaneda-Stoikov":
cid_bid = ClientOrderId(str(UUID4()))
cid_ask = ClientOrderId(str(UUID4()))
try:
client.submit_order(instrument_id=perp.id, client_order_id=cid_bid, order_side=OrderSide.BUY, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(int(bid))), time_in_force=TimeInForce.GTC, post_only=True)
client.submit_order(instrument_id=perp.id, client_order_id=cid_ask, order_side=OrderSide.SELL, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(int(ask))), time_in_force=TimeInForce.GTC, post_only=True)
if tick % 60 == 0:
log.info(f"[Avel] DUAL: BID {cfg['size']} @ ${int(bid):,} | ASK {cfg['size']} @ ${int(ask):,}")
active_cloids[name] = str(cid_bid)
active_cloids_times[name] = tick
active_cloids_px[name] = bid
from strategies.as_quoter import ASQuoter
if "_as_quoter" not in dir():
globals()["_as_quoter"] = ASQuoter(
gamma=0.1, k=1.5, tau=1.0,
min_spread=0.0001, max_inventory=cfg["size"] * 5,
)
q = ASQuoter
asq = globals()["_as_quoter"]
asq.observe(mid)
# Get A-S inventory from position tracking
as_inv = STRATEGIES[name].get("position", 0.0)
elapsed = (tick * 1.0) % (asq.tau * 3600) / 3600.0 # 1-hour virtual sessions
result = asq.quotes(mid, as_inv, elapsed)
if result is None:
continue # Circuit breaker active — skip this tick
r_price = result["reservation"]
as_bid = int(result["bid"])
as_ask = int(result["ask"])
# Clamp: never cross the market
as_bid = min(as_bid, int(bid))
as_ask = max(as_ask, int(ask))
cid_bid = ClientOrderId(str(UUID4()))
cid_ask = ClientOrderId(str(UUID4()))
try:
client.submit_order(instrument_id=perp.id, client_order_id=cid_bid, order_side=OrderSide.BUY, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(as_bid)), time_in_force=TimeInForce.GTC, post_only=True)
client.submit_order(instrument_id=perp.id, client_order_id=cid_ask, order_side=OrderSide.SELL, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(as_ask)), time_in_force=TimeInForce.GTC, post_only=True)
if tick % 60 == 0:
log.info(f"[AS] r={r_price:.1f} σ={asq.sigma*100:.2f}% BID {cfg['size']} @ ${as_bid:,} | ASK {cfg['size']} @ ${as_ask:,} (spread ${as_ask - as_bid:,})")
active_cloids[name] = str(cid_bid)
active_cloids_times[name] = tick
active_cloids_px[name] = as_bid
except Exception:
pass
except Exception:
pass
# Fallback: best bid/ask if module unavailable
cid_bid = ClientOrderId(str(UUID4()))
cid_ask = ClientOrderId(str(UUID4()))
try:
client.submit_order(instrument_id=perp.id, client_order_id=cid_bid, order_side=OrderSide.BUY, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(int(bid))), time_in_force=TimeInForce.GTC, post_only=True)
client.submit_order(instrument_id=perp.id, client_order_id=cid_ask, order_side=OrderSide.SELL, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(int(ask))), time_in_force=TimeInForce.GTC, post_only=True)
active_cloids[name] = str(cid_bid)
active_cloids_times[name] = tick
active_cloids_px[name] = bid
except Exception:
pass
continue
# For signal-driven strategies: use aggressive offset