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/.

strategies/orderbook_imbalance.py

@@ -0,0 +1,76 @@
+"""
+Order Book Imbalance strategy.
+
+Enters positions when bid/ask volume at the top of the order book
+shows a significant directional skew. The idea: when one side of
+the book is much heavier, price tends to move toward the thinner
+side as the heavy side absorbs market orders.
+"""
+from nautilus_trader.trading.strategy import Strategy
+from nautilus_trader.config import StrategyConfig
+
+
+class OrderBookImbalanceConfig(StrategyConfig, frozen=True):
+    instrument_id: str
+    depth: int = 10
+    imbalance_threshold: float = 0.6
+    trade_size: float = 0.001
+    max_position: float = 0.003
+    cooldown_bars: int = 5
+
+
+class OrderBookImbalance(Strategy):
+    """
+    Trades on L2 order book imbalance.
+
+    - imbalance > threshold  -> bid side heavy -> buy
+    - imbalance < 1-threshold -> ask side heavy -> sell
+    """
+
+    def __init__(self, config: OrderBookImbalanceConfig) -> None:
+        super().__init__(config)
+        self.config = config
+        self.bars_since_last_trade = 0
+
+    def on_start(self) -> None:
+        self.subscribe_order_book_deltas(
+            self.config.instrument_id,
+            depth=self.config.depth,
+        )
+        self.log.info(
+            f"OFI started on {self.config.instrument_id} "
+            f"(depth={self.config.depth})"
+        )
+
+    def on_order_book_deltas(self, deltas) -> None:
+        self.bars_since_last_trade += 1
+        if self.bars_since_last_trade < self.config.cooldown_bars:
+            return
+
+        book = self.cache.order_book(self.config.instrument_id)
+        if not book or len(book.bids) == 0 or len(book.asks) == 0:
+            return
+
+        depth = min(self.config.depth, len(book.bids), len(book.asks))
+        bid_vol = sum(book.bids[i].size for i in range(depth))
+        ask_vol = sum(book.asks[i].size for i in range(depth))
+        total = bid_vol + ask_vol
+        if total == 0:
+            return
+
+        imbalance = bid_vol / total
+        pos = self.portfolio.net_position(self.config.instrument_id)
+
+        if imbalance > self.config.imbalance_threshold and pos <= 0:
+            self._enter("BUY")
+            self.bars_since_last_trade = 0
+        elif imbalance < (1 - self.config.imbalance_threshold) and pos >= 0:
+            self._enter("SELL")
+            self.bars_since_last_trade = 0
+
+    def _enter(self, side: str) -> None:
+        self.submit_order(self.order_factory.market(
+            instrument_id=self.config.instrument_id,
+            order_side=side,
+            quantity=self.config.trade_size,
+        ))