Struct CompositeMarketMakerConfig 

pub struct CompositeMarketMakerConfig {
    pub base: StrategyConfig,
    pub instrument_id: InstrumentId,
    pub signal_instrument_id: InstrumentId,
    pub trade_size: Option<Quantity>,
    pub half_spread_bps: u32,
    pub inventory_skew_factor: f64,
    pub signal_skew_factor: f64,
    pub signal_baseline: Option<f64>,
    pub max_position: Quantity,
    pub requote_threshold_bps: u32,
    pub expire_time_secs: Option<u64>,
    pub on_cancel_resubmit: bool,
}

Configuration for the composite market making strategy.

Fields

base: StrategyConfig

Base strategy configuration.

instrument_id: InstrumentId

Target instrument the strategy quotes on.

signal_instrument_id: InstrumentId

Signal instrument that drives the signal skew. Typically a SyntheticInstrument, but any instrument that publishes quotes works.

trade_size: Option<Quantity>

Trade size per quote. When None, resolved from the instrument’s min_quantity during on_start.

half_spread_bps: u32

Half of the desired quoted spread, in basis points of the anchor. E.g. 5 = 5 bps, so the full quoted spread is 10 bps before skew.

inventory_skew_factor: f64

Inventory skew gain in price units per unit of net position. Both sides shift down by factor * net_position so a long position widens the bid and tightens the ask.

signal_skew_factor: f64

Signal skew gain in price units per unit of normalized signal residual. Both sides shift up by factor * residual where residual = (signal_mid - baseline) / baseline.

signal_baseline: Option<f64>

Optional baseline price for the signal residual. When None, the first observed signal mid is captured as the baseline. When Some(_), the configured value is used so backtests are deterministic.

max_position: Quantity

Hard cap on net exposure (long or short).

requote_threshold_bps: u32

Minimum movement in basis points of the anchor before re-quoting. Applied to both anchor movement and the signal residual’s price impact (signal_skew_factor * residual); whichever clears the threshold first triggers a requote.

expire_time_secs: Option<u64>

Optional order expiry in seconds. When set, orders use GTD time-in-force with expire_time = now + expire_time_secs.

on_cancel_resubmit: bool

When true, resubmit on the next quote tick after an external cancel. Useful for venues that proactively cancel short-term orders.

Implementations

impl CompositeMarketMakerConfig

pub fn builder() -> CompositeMarketMakerConfigBuilder

Create an instance of CompositeMarketMakerConfig using the builder syntax

Trait Implementations

impl Clone for CompositeMarketMakerConfig

fn clone(&self) -> CompositeMarketMakerConfig

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for CompositeMarketMakerConfig

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl DerefToPyAny for CompositeMarketMakerConfig

impl<'a, 'py> FromPyObject<'a, 'py> for CompositeMarketMakerConfig

where Self: Clone,

type Error = PyClassGuardError<'a, 'py>

The type returned in the event of a conversion error.

fn extract( obj: Borrowed<'a, 'py, PyAny>, ) -> Result<Self, <Self as FromPyObject<'a, 'py>>::Error>

Extracts Self from the bound smart pointer obj.

impl<'py> IntoPyObject<'py> for CompositeMarketMakerConfig

type Target = CompositeMarketMakerConfig

The Python output type

type Output = Bound<'py, <CompositeMarketMakerConfig as IntoPyObject<'py>>::Target>

The smart pointer type to use.

type Error = PyErr

The type returned in the event of a conversion error.

fn into_pyobject( self, py: Python<'py>, ) -> Result<<Self as IntoPyObject<'_>>::Output, <Self as IntoPyObject<'_>>::Error>

Performs the conversion.

impl PyClass for CompositeMarketMakerConfig

const NAME: &str = "CompositeMarketMakerConfig"

Name of the class.

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for CompositeMarketMakerConfig

const MODULE: Option<&str>

Module which the class will be associated with.

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

const IS_IMMUTABLE_TYPE: bool = false

#[pyclass(immutable_type)]

const RAW_DOC: &'static CStr = /// Configuration for the composite market making strategy.

Docstring for the class provided on the struct or enum.

const DOC: &'static CStr

Fully rendered class doc, including the text_signature if a constructor is defined.

type Layout = <<CompositeMarketMakerConfig as PyClassImpl>::BaseNativeType as PyClassBaseType>::Layout<CompositeMarketMakerConfig>

Description of how this class is laid out in memory

type BaseType = PyAny

Base class

type ThreadChecker = NoopThreadChecker

This handles following two situations:

type Inventory = Pyo3MethodsInventoryForCompositeMarketMakerConfig

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild

Immutable or mutable

type Dict = PyClassDummySlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn dict_offset() -> Option<PyObjectOffset>

Used to provide the dictoffset slot (equivalent to tp_dictoffset)

fn weaklist_offset() -> Option<PyObjectOffset>

Used to provide the weaklistoffset slot (equivalent to tp_weaklistoffset

impl PyClassNewTextSignature for CompositeMarketMakerConfig

const TEXT_SIGNATURE: &'static str = "(instrument_id, signal_instrument_id, max_position, strategy_id=None, order_id_tag=None, trade_size=None, half_spread_bps=5, inventory_skew_factor=0.0, signal_skew_factor=0.0, signal_baseline=None, requote_threshold_bps=5, expire_time_secs=None, on_cancel_resubmit=False)"

impl PyStubType for CompositeMarketMakerConfig

fn type_output() -> TypeInfo

The type to be used in the output signature, i.e. return type of the Python function or methods.

fn type_input() -> TypeInfo

The type to be used in the input signature, i.e. the arguments of the Python function or methods.

impl PyTypeInfo for CompositeMarketMakerConfig

const NAME: &str = <Self as ::pyo3::PyClass>::NAME

👎Deprecated since 0.28.0:

prefer using ::type_object(py).name() to get the correct runtime value

Class name.

const MODULE: Option<&str> = <Self as ::pyo3::impl_::pyclass::PyClassImpl>::MODULE

👎Deprecated since 0.28.0:

prefer using ::type_object(py).module() to get the correct runtime value

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.