maker

package
v0.0.0-...-8fb26ab Latest Latest
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 Go to latest Published: Oct 15, 2023 License: MIT Imports: 14 Imported by: 0

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Index

Constants

This section is empty.

Variables

This section is empty.

Functions

This section is empty.

Types

type CumulativeQtySpreadModel 

type CumulativeQtySpreadModel interface {
	BidSpreadBps(totalQty float64) float64
	OfferSpreadBps(totalQty float64) float64
}

type FunctionalLiquidityCurve 

type FunctionalLiquidityCurve[T instr.Instrument] struct {
	// contains filtered or unexported fields
}

func NewFunctionalLiqudityCurve 

func NewFunctionalLiqudityCurve[T instr.Instrument](spreadModel CumulativeQtySpreadModel, instrument T, exchange exchange.Exchange) *FunctionalLiquidityCurve[T]

func (*FunctionalLiquidityCurve[T]) GenerateBids 

func (lc *FunctionalLiquidityCurve[T]) GenerateBids(mid float64, now time.Time) []*orders.Limit[T]

func (*FunctionalLiquidityCurve[T]) GenerateOffers 

func (lc *FunctionalLiquidityCurve[T]) GenerateOffers(mid float64, now time.Time) []*orders.Limit[T]

func (*FunctionalLiquidityCurve[T]) SetLevelQtysInBase 

func (lc *FunctionalLiquidityCurve[T]) SetLevelQtysInBase(levelQtysInBase []float64)

type Layer 

type Layer struct {
	ClientOrderID string
	Price         float64
}

type LayerStatus 

type LayerStatus int
const (
	NotReplenishable LayerStatus = (iota + 1)
	Replenishable
	Reconcilable
)

type LiquidityCurve 

type LiquidityCurve[T instr.Instrument] interface {
	GenerateBids(mid float64, now time.Time) []*orders.Limit[T]
	GenerateOffers(mid float64, now time.Time) []*orders.Limit[T]
}

type MakerDispatcher 

type MakerDispatcher[T instr.Instrument] interface {
	DispatchLimitOrder(order *orders.Limit[T])
	DispatchCancelOrder(order *orders.Limit[T])
}

type MakerEngine 

type MakerEngine[T instr.Instrument] struct {
	// contains filtered or unexported fields
}

func NewMakerEngine 

func NewMakerEngine[T instr.Instrument](
	dispatcher MakerDispatcher[T],
	confirmedOrderBook *MakerOrderBook[T],
	controller *MakerLayerController[T],
	liquidityCurve LiquidityCurve[T]) *MakerEngine[T]

func (*MakerEngine[T]) CancelAll 

func (e *MakerEngine[T]) CancelAll()

func (*MakerEngine[T]) ReconcileAndReplaceBids 

func (e *MakerEngine[T]) ReconcileAndReplaceBids(mid, remainingTermInventory float64, refData *refdata.Composite, now time.Time) error

func (*MakerEngine[T]) ReconcileAndReplaceOffers 

func (e *MakerEngine[T]) ReconcileAndReplaceOffers(mid, remainingBaseInventory float64, refData *refdata.Composite, now time.Time) error

type MakerLayerController 

type MakerLayerController[T instr.Instrument] struct {
	// contains filtered or unexported fields
}

func NewMakerLayerController 

func NewMakerLayerController[T instr.Instrument](instrument T, ex exchange.Exchange) *MakerLayerController[T]

func (*MakerLayerController[T]) ApplyExecutionReport 

func (rm *MakerLayerController[T]) ApplyExecutionReport(rep *report.ExecutionReport[T])

func (*MakerLayerController[T]) GetLayerStatus 

func (rm *MakerLayerController[T]) GetLayerStatus(layerIndex int, s side.OrderSide, refData *refdata.Composite, now time.Time) LayerStatus

func (*MakerLayerController[T]) HasMetMinimumQuoteTime 

func (rm *MakerLayerController[T]) HasMetMinimumQuoteTime(orderLayer *orders.Limit[T], minimumQuoteTime time.Duration, now time.Time) bool

type MakerOrderBook 

type MakerOrderBook[T instr.Instrument] struct {
	Bids   *tree.RedBlack[Layer, *orders.Limit[T]]
	Offers *tree.RedBlack[Layer, *orders.Limit[T]]
	// contains filtered or unexported fields
}

func NewMakerOrderBook 

func NewMakerOrderBook[T instr.Instrument](instrument T, exchange exchange.Exchange) *MakerOrderBook[T]

func (*MakerOrderBook[T]) ApplyExecutionReport 

func (book *MakerOrderBook[T]) ApplyExecutionReport(rep *report.ExecutionReport[T])

type SingleLayerLiquidityCurve 

type SingleLayerLiquidityCurve[T instr.Instrument] struct {
	// contains filtered or unexported fields
}

func NewSingleLayerLiquidityCurve 

func NewSingleLayerLiquidityCurve[T instr.Instrument](
	staticSpreadModel CumulativeQtySpreadModel,
	instrument T,
	exchange exchange.Exchange) *SingleLayerLiquidityCurve[T]

func (*SingleLayerLiquidityCurve[T]) GenerateBids 

func (lc *SingleLayerLiquidityCurve[T]) GenerateBids(mid float64, now time.Time) []*orders.Limit[T]

func (*SingleLayerLiquidityCurve[T]) GenerateOffers 

func (lc *SingleLayerLiquidityCurve[T]) GenerateOffers(mid float64, now time.Time) []*orders.Limit[T]

func (*SingleLayerLiquidityCurve[T]) SetBaseInventory 

func (lc *SingleLayerLiquidityCurve[T]) SetBaseInventory(baseInventory float64)

func (*SingleLayerLiquidityCurve[T]) SetTermInventory 

func (lc *SingleLayerLiquidityCurve[T]) SetTermInventory(termInventory float64)

type SingleLayerSpreadModel 

type SingleLayerSpreadModel struct {
	// contains filtered or unexported fields
}

func NewSingleLayerSpreadModel 

func NewSingleLayerSpreadModel() *SingleLayerSpreadModel

func (*SingleLayerSpreadModel) BidSpreadBps 

func (slsm *SingleLayerSpreadModel) BidSpreadBps(totalQty float64) float64

func (*SingleLayerSpreadModel) OfferSpreadBps 

func (slsm *SingleLayerSpreadModel) OfferSpreadBps(totalQty float64) float64

func (*SingleLayerSpreadModel) SetSpreadBps 

func (slsm *SingleLayerSpreadModel) SetSpreadBps(spreadBps float64)

type StaticSymmetricCurveModel 

type StaticSymmetricCurveModel struct {
	// contains filtered or unexported fields
}

func NewStaticSymmetricCurveModel 

func NewStaticSymmetricCurveModel(modelSpreadBpsFn func(totalQty float64) float64) *StaticSymmetricCurveModel

func (*StaticSymmetricCurveModel) BidSpreadBps 

func (scm *StaticSymmetricCurveModel) BidSpreadBps(totalQty float64) float64

func (*StaticSymmetricCurveModel) OfferSpreadBps 

func (scm *StaticSymmetricCurveModel) OfferSpreadBps(totalQty float64) float64

type TwoFactorSymmetricCurveModel 

type TwoFactorSymmetricCurveModel struct {
	// contains filtered or unexported fields
}

func NewTwoFactorSymmetricCurveModel 

func NewTwoFactorSymmetricCurveModel() *TwoFactorSymmetricCurveModel

func (*TwoFactorSymmetricCurveModel) BidSpreadBps 

func (tfscm *TwoFactorSymmetricCurveModel) BidSpreadBps(totalQty float64) float64

func (*TwoFactorSymmetricCurveModel) OfferSpreadBps 

func (tfscm *TwoFactorSymmetricCurveModel) OfferSpreadBps(totalQty float64) float64

func (*TwoFactorSymmetricCurveModel) SetInsideQty 

func (tfscm *TwoFactorSymmetricCurveModel) SetInsideQty(insideQty float64)

func (*TwoFactorSymmetricCurveModel) SetInsideSpreadBps 

func (tfscm *TwoFactorSymmetricCurveModel) SetInsideSpreadBps(insideSpreadBps float64)

func (*TwoFactorSymmetricCurveModel) SetQtySpreadMultiplierBps 

func (tfscm *TwoFactorSymmetricCurveModel) SetQtySpreadMultiplierBps(qtySpreadMultiplierBps float64)

type WithBiasSpreadModel 

type WithBiasSpreadModel[M CumulativeQtySpreadModel] struct {
	UnderlyingModel M
	// contains filtered or unexported fields
}

func NewWithBiasSpreadModel 

func NewWithBiasSpreadModel[M CumulativeQtySpreadModel](underlyingModel M) *WithBiasSpreadModel[M]

func (*WithBiasSpreadModel[M]) BidSpreadBps 

func (wbsm *WithBiasSpreadModel[M]) BidSpreadBps(totalQty float64) float64

func (*WithBiasSpreadModel[M]) OfferSpreadBps 

func (wbsm *WithBiasSpreadModel[M]) OfferSpreadBps(totalQty float64) float64

func (*WithBiasSpreadModel[M]) SetBidBiasBps 

func (wbsm *WithBiasSpreadModel[M]) SetBidBiasBps(bidBiasBps float64)

func (*WithBiasSpreadModel[M]) SetOfferBiasBps 

func (wbsm *WithBiasSpreadModel[M]) SetOfferBiasBps(offerBiasBps float64)

Source Files

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