Struct DeltaNeutralVolConfig 

pub struct DeltaNeutralVolConfig {

    pub base: StrategyConfig,
    pub option_family: String,
    pub hedge_instrument_id: InstrumentId,
    pub client_id: ClientId,
    pub target_call_delta: f64,
    pub target_put_delta: f64,
    pub contracts: u64,
    pub rehedge_delta_threshold: f64,
    pub rehedge_interval_secs: u64,
    pub expiry_filter: Option<String>,
    pub enter_strangle: bool,
    pub entry_iv_offset: f64,
    pub entry_time_in_force: TimeInForce,
    pub iv_param_key: String,
}

Configuration for the delta-neutral short volatility hedger.

Tracks a short OTM call and put (strangle) and delta-hedges with the underlying perpetual swap. Rehedges when portfolio delta exceeds a configurable threshold or on a periodic timer.

Fields

base: StrategyConfig

Base strategy configuration.

option_family: String

Option instrument family (e.g. “BTC-USD”).

hedge_instrument_id: InstrumentId

Hedge instrument ID (e.g. BTC-USD-SWAP.OKX).

client_id: ClientId

Data and execution client ID (e.g. “OKX”).

target_call_delta: f64

Target call delta used by the startup strike heuristic.

target_put_delta: f64

Target put delta used by the startup strike heuristic.

contracts: u64

Number of option contracts per leg.

rehedge_delta_threshold: f64

Portfolio delta threshold that triggers a rehedge.

rehedge_interval_secs: u64

Periodic rehedge check interval in seconds.

expiry_filter: Option<String>

Optional expiry date filter (e.g. “260327”).

enter_strangle: bool

Place strangle entry orders when Greeks are first initialized. When false the strategy only hedges externally-entered positions.

entry_iv_offset: f64

Implied volatility offset subtracted from mark IV for entry limit price. A value of 0.02 sells 2 vol points below mark (more aggressive).

entry_time_in_force: TimeInForce

Time-in-force for strangle entry orders.

iv_param_key: String

Param key for implied volatility passed to submit_order_with_params. Adapter-specific: Bybit uses "order_iv", OKX uses "px_vol".

Implementations

impl DeltaNeutralVolConfig

pub fn new( option_family: String, hedge_instrument_id: InstrumentId, client_id: ClientId, ) -> Self

Creates a new DeltaNeutralVolConfig with required fields and defaults.

pub fn with_target_call_delta(self, delta: f64) -> Self

pub fn with_target_put_delta(self, delta: f64) -> Self

pub fn with_contracts(self, contracts: u64) -> Self

pub fn with_rehedge_delta_threshold(self, threshold: f64) -> Self

pub fn with_rehedge_interval_secs(self, secs: u64) -> Self

pub fn with_expiry_filter(self, expiry: String) -> Self

pub fn with_enter_strangle(self, enter: bool) -> Self

pub fn with_entry_iv_offset(self, offset: f64) -> Self

pub fn with_entry_time_in_force(self, tif: TimeInForce) -> Self

pub fn with_strategy_id(self, strategy_id: StrategyId) -> Self

pub fn with_order_id_tag(self, tag: String) -> Self

pub fn with_iv_param_key(self, key: String) -> Self

Trait Implementations

impl Clone for DeltaNeutralVolConfig

fn clone(&self) -> DeltaNeutralVolConfig

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for DeltaNeutralVolConfig

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

Formats the value using the given formatter.

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

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 DeltaNeutralVolConfig

type Target = DeltaNeutralVolConfig

The Python output type

type Output = Bound<'py, <DeltaNeutralVolConfig 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 DeltaNeutralVolConfig

const NAME: &str = "DeltaNeutralVolConfig"

Name of the class.

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for DeltaNeutralVolConfig

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 delta-neutral short volatility hedger. /// /// Tracks a short OTM call and put (strangle) and delta-hedges with the /// underlying perpetual swap. Rehedges when portfolio delta exceeds a /// configurable threshold or on a periodic timer.

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 = <<DeltaNeutralVolConfig as PyClassImpl>::BaseNativeType as PyClassBaseType>::Layout<DeltaNeutralVolConfig>

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 = Pyo3MethodsInventoryForDeltaNeutralVolConfig

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 DeltaNeutralVolConfig

const TEXT_SIGNATURE: &'static str = "(option_family, hedge_instrument_id, client_id, strategy_id=None, order_id_tag=None, target_call_delta=0.20, target_put_delta=..., contracts=1, rehedge_delta_threshold=0.5, rehedge_interval_secs=30, expiry_filter=None, enter_strangle=True, entry_iv_offset=0.0, entry_time_in_force=..., iv_param_key=\"px_vol\")"

impl PyTypeInfo for DeltaNeutralVolConfig

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.

impl DerefToPyAny for DeltaNeutralVolConfig