nautilus_trading/examples/strategies/delta_neutral_vol/mod.rs
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15
16//! Delta-neutral short volatility hedger.
17//!
18//! Tracks a short OTM call and put (strangle) on a configurable option
19//! family and delta-hedges the net Greek exposure with the underlying
20//! perpetual swap. Rehedges when portfolio delta exceeds a configurable
21//! threshold or on a periodic timer.
22//!
23//! This strategy subscribes to venue-provided Greeks via
24//! `subscribe_option_greeks` and uses them to track portfolio delta.
25//! Strike selection uses a simple strike-percentile heuristic at startup.
26
27pub mod config;
28pub mod strategy;
29
30#[cfg(test)]
31mod tests;
32
33pub use config::DeltaNeutralVolConfig;
34pub use strategy::DeltaNeutralVol;