nautilus_trading/examples/strategies/grid_mm/
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.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16//! Configuration for the grid market making strategy.
17
18use nautilus_model::{
19    identifiers::{InstrumentId, StrategyId},
20    types::Quantity,
21};
22
23use crate::strategy::StrategyConfig;
24
25/// Configuration for the grid market making strategy.
26#[derive(Debug, Clone, bon::Builder)]
27#[cfg_attr(
28    feature = "python",
29    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.trading", from_py_object)
30)]
31#[cfg_attr(
32    feature = "python",
33    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.trading")
34)]
35pub struct GridMarketMakerConfig {
36    /// Base strategy configuration.
37    #[builder(default = StrategyConfig {
38        strategy_id: Some(StrategyId::from("GRID_MM-001")),
39        order_id_tag: Some("001".to_string()),
40        ..Default::default()
41    })]
42    pub base: StrategyConfig,
43    /// Instrument ID to trade.
44    pub instrument_id: InstrumentId,
45    /// Trade size per grid level. When `None` the strategy resolves it from
46    /// the instrument's `min_quantity` during `on_start`.
47    pub trade_size: Option<Quantity>,
48    /// Number of price levels on each side (buy & sell).
49    #[builder(default = 3)]
50    pub num_levels: usize,
51    /// Grid spacing in basis points of mid-price (geometric grid).
52    /// E.g. `10` = 10 bps = 0.1%. Buy level N = mid × (1 - bps/10000)^N.
53    #[builder(default = 10)]
54    pub grid_step_bps: u32,
55    /// How aggressively to shift the grid based on inventory.
56    #[builder(default = 0.0)]
57    pub skew_factor: f64,
58    /// Hard cap on net exposure (long or short).
59    pub max_position: Quantity,
60    /// Minimum mid-price move in basis points before re-quoting.
61    /// E.g. `5` = 5 bps = 0.05%.
62    #[builder(default = 5)]
63    pub requote_threshold_bps: u32,
64    /// Optional order expiry in seconds. When set, orders use GTD
65    /// time-in-force with `expire_time = now + expire_time_secs`.
66    pub expire_time_secs: Option<u64>,
67    /// When `true`, resubmit the full grid on the next quote after receiving
68    /// an order cancel event. Useful for exchanges like dYdX where short-term
69    /// orders are canceled by the protocol after expiry.
70    #[builder(default = false)]
71    pub on_cancel_resubmit: bool,
72}
nautilus_trading/examples/strategies/grid_mm/config.rs

nautilus_trading/examples/strategies/grid_mm/
config.rs
