ramseshk
b59dcc3629
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/.
15 lines
257 B
YAML
15 lines
257 B
YAML
# Avellaneda-Stoikov Market Making Strategy
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strategy:
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name: AvellanedaStoikov
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instrument: BTC-USD-PERP
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gamma: 0.1
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sigma: 0.02
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T: 1.0
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k: 1.5
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min_spread: 0.0001
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max_inventory: 0.01
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risk:
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max_drawdown_pct: 0.03
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inventory_hard_limit: 0.015
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