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