nautilus_trading/examples/strategies/grid_mm/
mod.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
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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//! Grid market making strategy with inventory-based skewing.
17//!
18//! Subscribes to quotes for a single instrument and maintains a symmetric grid
19//! of limit orders around the mid-price. Orders are only replaced when the
20//! mid-price moves beyond a configurable threshold, allowing resting orders to
21//! persist across ticks. The grid is shifted by a skew proportional to the
22//! current net position to discourage inventory buildup (Avellaneda-Stoikov
23//! inspired).
24//!
25//! Max-position enforcement uses worst-case same-side exposure: `net_position`
26//! drives the skew offset, while `worst_long`/`worst_short` include both open
27//! positions and all pending buy/sell orders to account for async cancel latency.
28
29pub mod config;
30pub mod strategy;
31
32#[cfg(test)]
33mod tests;
34
35pub use config::GridMarketMakerConfig;
36pub use strategy::GridMarketMaker;
nautilus_trading/examples/strategies/grid_mm/mod.rs

nautilus_trading/examples/strategies/grid_mm/
mod.rs
