nautilus_trading/examples/strategies/delta_neutral_vol/
config.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
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11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
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14// -------------------------------------------------------------------------------------------------
15
16//! Configuration for the delta-neutral volatility hedger.
17
18use nautilus_model::{
19    enums::TimeInForce,
20    identifiers::{ClientId, InstrumentId, StrategyId},
21};
22
23use crate::strategy::StrategyConfig;
24
25/// Configuration for the delta-neutral short volatility hedger.
26///
27/// Tracks a short OTM call and put (strangle) and delta-hedges with the
28/// underlying perpetual swap. Rehedges when portfolio delta exceeds a
29/// configurable threshold or on a periodic timer.
30#[derive(Debug, Clone, bon::Builder)]
31#[cfg_attr(
32    feature = "python",
33    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.trading", from_py_object)
34)]
35#[cfg_attr(
36    feature = "python",
37    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.trading")
38)]
39pub struct DeltaNeutralVolConfig {
40    /// Base strategy configuration.
41    #[builder(default = StrategyConfig {
42        strategy_id: Some(StrategyId::from("DELTA_NEUTRAL_VOL-001")),
43        order_id_tag: Some("001".to_string()),
44        ..Default::default()
45    })]
46    pub base: StrategyConfig,
47    /// Option instrument family (e.g. "BTC-USD").
48    pub option_family: String,
49    /// Hedge instrument ID (e.g. BTC-USD-SWAP.OKX).
50    pub hedge_instrument_id: InstrumentId,
51    /// Data and execution client ID (e.g. "OKX").
52    pub client_id: ClientId,
53    /// Target call delta used by the startup strike heuristic.
54    #[builder(default = 0.20)]
55    pub target_call_delta: f64,
56    /// Target put delta used by the startup strike heuristic.
57    #[builder(default = -0.20)]
58    pub target_put_delta: f64,
59    /// Number of option contracts per leg.
60    #[builder(default = 1)]
61    pub contracts: u64,
62    /// Portfolio delta threshold that triggers a rehedge.
63    #[builder(default = 0.5)]
64    pub rehedge_delta_threshold: f64,
65    /// Periodic rehedge check interval in seconds.
66    #[builder(default = 30)]
67    pub rehedge_interval_secs: u64,
68    /// Optional expiry date filter (e.g. "260327").
69    pub expiry_filter: Option<String>,
70    /// Place strangle entry orders when Greeks are first initialized.
71    /// When false the strategy only hedges externally-entered positions.
72    #[builder(default = true)]
73    pub enter_strangle: bool,
74    /// Implied volatility offset subtracted from mark IV for entry limit
75    /// price. A value of 0.02 sells 2 vol points below mark (more aggressive).
76    #[builder(default = 0.0)]
77    pub entry_iv_offset: f64,
78    /// Time-in-force for strangle entry orders.
79    #[builder(default = TimeInForce::Gtc)]
80    pub entry_time_in_force: TimeInForce,
81    /// Tick offset from the option ask used for premium-priced entry orders.
82    /// When set, the strategy does not pass IV params to the adapter.
83    pub entry_premium_offset_ticks: Option<i32>,
84    /// Param key for implied volatility passed to `submit_order`.
85    /// Adapter-specific: Bybit uses `"order_iv"`, OKX uses `"px_vol"`.
86    #[builder(default = "px_vol".to_string())]
87    pub iv_param_key: String,
88}
nautilus_trading/examples/strategies/delta_neutral_vol/config.rs

nautilus_trading/examples/strategies/delta_neutral_vol/
config.rs
