rams/ftdt-quant-lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Proper A-S: side selection via reservation price (not spread formula)

Browse Source 
The AS optimal spread formula gives absurd spreads at crypto scale.
Real market makers quote at the MARKET spread (best bid/ask) and use
AS to decide WHEN to quote based on inventory-adjusted fair value:
  r = s - q * gamma * sigma^2 * tau

If r < best_bid (long-biased) → stop quoting bid
If r > best_ask (short-biased) → stop quoting ask
If circuit breaker active → pause both sides

Decoupled: spread is market-driven, inventory skew is AS-driven.
This commit is contained in:
ramseshk
2026-08-06 08:04:49 +00:00
parent a5de7d526f
commit f9bed72b1c
2 changed files with 102 additions and 106 deletions
Download Patch File Download Diff File Expand all files Collapse all files
live/node.py
+34 -33
View File
@@ -425,48 +425,49 @@ async def main():
if has_position:
continue # Don't replace existing orders
# Avellaneda-Stoikov: proper optimal control (reservation price + spread)
# Avellaneda-Stoikov: side selection via reservation price
if name == "Avellaneda-Stoikov":
try:
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)
from strategies.as_quoter import ASMarketMaker
if "_as_mm" not in dir():
globals()["_as_mm"] = ASMarketMaker(gamma=0.1, tau=1.0, max_inventory=cfg["size"] * 10)
asmm = globals()["_as_mm"]
asmm.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
elapsed = (tick * 1.0) % (asmm.tau * 3600) / 3600.0
result = asq.quotes(mid, as_inv, elapsed)
if result is None:
continue # Circuit breaker active — skip this tick
selection = asmm.should_quote(mid, bid, ask, as_inv, elapsed)
quote_bid = selection["quote_bid"]
quote_ask = selection["quote_ask"]
r_price = selection.get("reservation", mid)
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))
# Quote selected sides at best bid/ask
if quote_bid:
cid_bid = 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)
active_cloids[name + "_bid"] = str(cid_bid)
active_cloids_times[name + "_bid"] = tick
active_cloids_px[name + "_bid"] = bid
except Exception:
pass
if quote_ask:
cid_ask = ClientOrderId(str(UUID4()))
try:
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 + "_ask"] = str(cid_ask)
active_cloids_times[name + "_ask"] = tick
active_cloids_px[name + "_ask"] = ask
except Exception:
pass
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
if tick % 60 == 0 and (quote_bid or quote_ask):
sides = ("BID" if quote_bid else "") + ("|" if quote_bid and quote_ask else "") + ("ASK" if quote_ask else "")
log.info(f"[AS] r={r_price:.1f} σ={selection.get('sigma',0)*100:.2f}% q={as_inv:.6f} {sides}")
except Exception:
# Fallback: best bid/ask if module unavailable
# Fallback: best bid/ask both sides
cid_bid = ClientOrderId(str(UUID4()))
cid_ask = ClientOrderId(str(UUID4()))
try: