nautilus_trading/examples/strategies/composite_market_maker/mod.rs
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15
16//! Composite market making strategy with book-mid quoting and external-signal skew.
17//!
18//! Subscribes to quotes for two instruments: a target instrument (the market the
19//! strategy quotes on) and a signal instrument (typically a `SyntheticInstrument`
20//! published by the data engine, but any instrument with a quote stream works).
21//! Quotes a single bid and a single ask around the target's book mid, with two
22//! independent skew terms applied on top:
23//!
24//! - **Inventory skew** discourages position buildup. With `inventory_skew_factor`
25//! positive, both sides shift down by `factor * net_position`: the bid moves
26//! further from the market when long, the ask moves closer.
27//! - **Signal skew** lifts both quotes when the signal trades above its baseline.
28//! The residual is `(signal_mid - baseline) / baseline`. With
29//! `signal_skew_factor` positive, both sides shift up by `factor * residual`,
30//! which captures expected drift inferred from the signal.
31//!
32//! Max-position enforcement uses worst-case same-side exposure: open positions
33//! plus all pending buy/sell orders are projected forward so the cap holds even
34//! while async cancels are in flight (same pattern as `GridMarketMaker`).
35
36pub mod config;
37pub mod strategy;
38
39#[cfg(test)]
40mod tests;
41
42pub use config::CompositeMarketMakerConfig;
43pub use strategy::CompositeMarketMaker;