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Merge pull request #5 from copyleftdev/feature/algo-trading-strategies
feat: add example trading strategies for momentum, pairs, arbitrage, …
2 parents 5fa2693 + bc45d93 commit 66be2c3

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‎examples/fintech/arbitrage-strategy.sigmos‎

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spec "ArbitrageStrategy" v1.0 {
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description: "Advanced multi-exchange arbitrage strategy with AI-powered opportunity detection and latency optimization for systematic price differential capture."
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inputs:
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strategy_id: string
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trading_pair: string { default: "BTC/USD" }
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exchange_1: string { default: "binance" }
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exchange_2: string { default: "coinbase" }
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min_profit_threshold: float { default: 0.005 }
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account_balance: float { default: 100000.0 }
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max_position_size: float { default: 0.1 }
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execution_speed_priority: bool { default: true }
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slippage_tolerance: float { default: 0.001 }
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triangular_arbitrage: bool { default: false }
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cross_exchange_arbitrage: bool { default: true }
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statistical_arbitrage: bool { default: false }
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funding_rate_arbitrage: bool { default: false }
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ai_models: string
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market_data_feeds: string
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execution_venues: string
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latency_monitoring: bool { default: true }
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price_feed_redundancy: bool { default: true }
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execution_timeout: int { default: 10 }
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risk_management_enabled: bool { default: true }
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max_exposure_per_exchange: float { default: 0.5 }
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balance_monitoring: bool { default: true }
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profit_tracking: bool { default: true }
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computed:
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price_differential: -> calculate_price_diff()
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profit_opportunity: -> calculate_profit()
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execution_latency: -> measure_latency()
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events:
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on_create(strategy): initialize_arbitrage
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on_opportunity(price_differential): execute_arbitrage
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on_fill(leg_1): execute_arbitrage_leg_2
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on_complete(arbitrage): record_profit
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on_error(execution_failure): handle_failed_arbitrage
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actions:
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initialize_arbitrage {
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description: "Initialize arbitrage trading strategy"
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mcp_call: "trading/arbitrage/initialize"
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parameters: {
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strategy_id: strategy_id,
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trading_pair: trading_pair,
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exchange_1: exchange_1,
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exchange_2: exchange_2,
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account_balance: account_balance
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}
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}
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execute_arbitrage {
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description: "Execute arbitrage opportunity"
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mcp_call: "trading/arbitrage/execute"
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parameters: {
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trading_pair: trading_pair,
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price_differential: price_differential,
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profit_opportunity: profit_opportunity,
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max_position_size: max_position_size,
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execution_speed_priority: execution_speed_priority
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}
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}
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execute_arbitrage_leg_2 {
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description: "Execute second leg of arbitrage trade"
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mcp_call: "trading/arbitrage/execute_leg_2"
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parameters: {
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strategy_id: strategy_id,
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execution_timeout: execution_timeout,
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slippage_tolerance: slippage_tolerance
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}
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}
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record_profit {
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description: "Record arbitrage profit and update metrics"
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mcp_call: "trading/arbitrage/record_profit"
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parameters: {
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strategy_id: strategy_id,
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profit_opportunity: profit_opportunity,
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execution_latency: execution_latency
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}
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}
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handle_failed_arbitrage {
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description: "Handle failed arbitrage execution"
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mcp_call: "trading/arbitrage/handle_failure"
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parameters: {
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strategy_id: strategy_id,
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failure_reason: "execution_timeout",
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risk_management_enabled: risk_management_enabled
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}
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}
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}

‎examples/fintech/grid-trading-strategy.sigmos‎

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spec "GridTradingStrategy" v1.0 {
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description: "Advanced grid trading strategy with AI-powered volatility analysis and dynamic grid adjustment for systematic profit from market oscillations."
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inputs:
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strategy_id: string
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trading_pair: string { default: "BTC/USD" }
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grid_levels: int { default: 10 }
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grid_spacing_pct: float { default: 0.02 }
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base_order_size: float { default: 1000.0 }
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account_balance: float { default: 100000.0 }
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total_grid_allocation: float { default: 0.5 }
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upper_price_limit: float { default: 0.0 }
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lower_price_limit: float { default: 0.0 }
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dynamic_grid_enabled: bool { default: true }
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volatility_adjustment: bool { default: true }
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trend_filter_enabled: bool { default: true }
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volume_weighted_orders: bool { default: true }
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ai_models: string
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market_data_feed: string
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execution_venue: string
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stop_loss_enabled: bool { default: false }
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take_profit_enabled: bool { default: false }
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grid_rebalance_frequency: int { default: 24 }
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risk_management_enabled: bool { default: true }
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max_drawdown_pct: float { default: 0.15 }
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position_monitoring: bool { default: true }
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profit_taking_enabled: bool { default: true }
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computed:
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current_price: -> get_current_price()
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grid_spacing: -> calculate_grid_spacing()
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volatility_factor: -> measure_volatility()
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events:
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on_create(strategy): initialize_grid_trading
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on_price_hit(grid_level): execute_grid_order
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on_timer(grid_rebalance_frequency): rebalance_grid
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on_change(volatility_factor): adjust_grid_spacing
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on_error(max_drawdown): pause_grid_trading
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actions:
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initialize_grid_trading {
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description: "Initialize grid trading strategy"
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mcp_call: "trading/grid/initialize"
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parameters: {
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strategy_id: strategy_id,
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trading_pair: trading_pair,
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grid_levels: grid_levels,
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grid_spacing_pct: grid_spacing_pct,
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base_order_size: base_order_size,
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account_balance: account_balance
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}
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}
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execute_grid_order {
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description: "Execute buy or sell order when price hits grid level"
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mcp_call: "trading/grid/execute_order"
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parameters: {
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trading_pair: trading_pair,
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current_price: current_price,
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base_order_size: base_order_size,
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volume_weighted_orders: volume_weighted_orders
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}
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}
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rebalance_grid {
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description: "Rebalance grid levels based on market conditions"
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mcp_call: "trading/grid/rebalance"
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parameters: {
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strategy_id: strategy_id,
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current_price: current_price,
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grid_spacing: grid_spacing,
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dynamic_grid_enabled: dynamic_grid_enabled
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}
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}
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adjust_grid_spacing {
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description: "Dynamically adjust grid spacing based on volatility"
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mcp_call: "trading/grid/adjust_spacing"
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parameters: {
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volatility_factor: volatility_factor,
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volatility_adjustment: volatility_adjustment,
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grid_spacing_pct: grid_spacing_pct
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}
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}
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pause_grid_trading {
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description: "Pause grid trading due to excessive drawdown"
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mcp_call: "trading/grid/pause"
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parameters: {
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strategy_id: strategy_id,
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max_drawdown_pct: max_drawdown_pct,
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reason: "drawdown_limit"
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}
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}
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}

‎examples/fintech/market-making-strategy.sigmos‎

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spec "MarketMakingStrategy" v1.0 {
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description: "Advanced market making strategy with AI-powered spread optimization and inventory management for systematic liquidity provision and bid-ask capture."
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inputs:
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strategy_id: string
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trading_pair: string { default: "BTC/USD" }
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base_spread_bps: int { default: 10 }
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order_size: float { default: 1000.0 }
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max_inventory: float { default: 10.0 }
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account_balance: float { default: 100000.0 }
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inventory_target: float { default: 0.0 }
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spread_multiplier: float { default: 1.0 }
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min_spread_bps: int { default: 5 }
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max_spread_bps: int { default: 50 }
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dynamic_spread_enabled: bool { default: true }
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inventory_skew_enabled: bool { default: true }
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volatility_adjustment: bool { default: true }
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order_refresh_enabled: bool { default: true }
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ai_models: string
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market_data_feed: string
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execution_venue: string
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order_refresh_interval: int { default: 5 }
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inventory_rebalance_threshold: float { default: 0.8 }
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adverse_selection_protection: bool { default: true }
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risk_management_enabled: bool { default: true }
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max_position_size: float { default: 0.1 }
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stop_loss_enabled: bool { default: true }
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profit_target_enabled: bool { default: false }
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computed:
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current_inventory: -> calculate_inventory()
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optimal_spread: -> calculate_optimal_spread()
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market_volatility: -> measure_volatility()
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events:
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on_create(strategy): initialize_market_making
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on_fill(order): manage_inventory
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on_timer(order_refresh_interval): refresh_quotes
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on_change(market_volatility): adjust_spread
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on_error(inventory_limit): rebalance_inventory
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actions:
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initialize_market_making {
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description: "Initialize market making strategy"
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mcp_call: "trading/market_making/initialize"
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parameters: {
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strategy_id: strategy_id,
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trading_pair: trading_pair,
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base_spread_bps: base_spread_bps,
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order_size: order_size,
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account_balance: account_balance
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}
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}
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manage_inventory {
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description: "Manage inventory after order fills"
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mcp_call: "trading/market_making/manage_inventory"
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parameters: {
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current_inventory: current_inventory,
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inventory_target: inventory_target,
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max_inventory: max_inventory,
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inventory_skew_enabled: inventory_skew_enabled
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}
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}
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refresh_quotes {
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description: "Refresh bid and ask quotes"
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mcp_call: "trading/market_making/refresh_quotes"
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parameters: {
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trading_pair: trading_pair,
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optimal_spread: optimal_spread,
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order_size: order_size,
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current_inventory: current_inventory
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}
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}
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adjust_spread {
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description: "Dynamically adjust spread based on market conditions"
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mcp_call: "trading/market_making/adjust_spread"
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parameters: {
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market_volatility: market_volatility,
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volatility_adjustment: volatility_adjustment,
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min_spread_bps: min_spread_bps,
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max_spread_bps: max_spread_bps
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}
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}
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rebalance_inventory {
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description: "Rebalance inventory when limits are breached"
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mcp_call: "trading/market_making/rebalance"
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parameters: {
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strategy_id: strategy_id,
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current_inventory: current_inventory,
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inventory_rebalance_threshold: inventory_rebalance_threshold
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}
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}
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}

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