Module composite_market_maker 

Composite market making strategy with book-mid quoting and external-signal skew.

Subscribes to quotes for two instruments: a target instrument (the market the strategy quotes on) and a signal instrument (typically a SyntheticInstrument published by the data engine, but any instrument with a quote stream works). Quotes a single bid and a single ask around the target’s book mid, with two independent skew terms applied on top:

• Inventory skew discourages position buildup. With inventory_skew_factor positive, both sides shift down by factor * net_position: the bid moves further from the market when long, the ask moves closer.
• Signal skew lifts both quotes when the signal trades above its baseline. The residual is (signal_mid - baseline) / baseline. With signal_skew_factor positive, both sides shift up by factor * residual, which captures expected drift inferred from the signal.

Max-position enforcement uses worst-case same-side exposure: open positions plus all pending buy/sell orders are projected forward so the cap holds even while async cancels are in flight (same pattern as GridMarketMaker).

Re-exports

pub use config::CompositeMarketMakerConfig;

pub use strategy::CompositeMarketMaker;

Modules

config

Configuration for the composite market making strategy.

strategy

Composite market making strategy implementation.