Initial project scaffold: five quant strategies for Hyperliquid Testnet
Set up the directory structure and wrote placeholder logic for: - Order Book Imbalance: trades on L2 bid/ask skew - Iceberg/TWAP detection: follows whale accumulation patterns - Funding rate arbitrage: delta-neutral carry on perp funding - Pairs trading: BTC/ETH spread mean reversion - Avellaneda-Stoikov market making: optimal bid/ask quoting Also added shared risk manager, portfolio tracker, and a plain-language strategy walkthrough in docs/.
This commit is contained in:
@@ -0,0 +1,14 @@
|
||||
# Avellaneda-Stoikov Market Making Strategy
|
||||
strategy:
|
||||
name: AvellanedaStoikov
|
||||
instrument: BTC-USD-PERP
|
||||
gamma: 0.1
|
||||
sigma: 0.02
|
||||
T: 1.0
|
||||
k: 1.5
|
||||
min_spread: 0.0001
|
||||
max_inventory: 0.01
|
||||
|
||||
risk:
|
||||
max_drawdown_pct: 0.03
|
||||
inventory_hard_limit: 0.015
|
||||
Reference in New Issue
Block a user