Expand description
Grid market making strategy with inventory-based skewing.
Subscribes to quotes for a single instrument and maintains a symmetric grid of limit orders around the mid-price. Orders are only replaced when the mid-price moves beyond a configurable threshold, allowing resting orders to persist across ticks. The grid is shifted by a skew proportional to the current net position to discourage inventory buildup (Avellaneda-Stoikov inspired).
Max-position enforcement uses worst-case same-side exposure: net_position
drives the skew offset, while worst_long/worst_short include both open
positions and all pending buy/sell orders to account for async cancel latency.
Re-exports§
pub use config::GridMarketMakerConfig;pub use strategy::GridMarketMaker;