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/.
14 lines
251 B
YAML
14 lines
251 B
YAML
# Order Book Imbalance Strategy
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strategy:
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name: OrderBookImbalance
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instrument: BTC-USD-PERP
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depth: 10
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imbalance_threshold: 0.6
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trade_size: 0.001
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max_position: 0.003
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cooldown_bars: 5
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risk:
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max_drawdown_pct: 0.05
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max_daily_trades: 20
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