Getting there

2026-07-05 17:50:04 -04:00
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+# Named strategy parameter profiles (replaces the v1 Hyperparameters sheet).
+# markets.toml maps each market to one of these profiles.
+# See docs/scoping/04-strategy.md §8.
+
+[profiles.political-longdated]
+# --- fair value ---
+micro_levels        = 3       # depth levels used for microprice
+flow_ewma_halflife_s = 120    # signed-flow EWMA half-life
+# --- spread / skew ---
+gamma               = 0.5     # inventory risk aversion (skew strength)
+delta_min_ticks     = 2       # minimum half-spread, in ticks
+c_vol               = 1.2     # half-spread added per unit short-horizon vol
+c_tox               = 2.0     # half-spread added per unit toxicity score
+# --- vol horizons (seconds) ---
+vol_short_halflife_s = 10
+vol_long_halflife_s  = 900
+# --- sizing / inventory ---
+base_size_usdc      = 50.0    # notional per quote
+q_max_usdc          = 500.0   # hard inventory cap (notional)
+q_soft_frac         = 0.6     # soft cap as fraction of q_max
+layers              = 2       # price levels per side
+layer_step_ticks    = 2       # tick gap between layers
+# --- placement / churn ---
+reprice_ticks       = 2       # only reprice if target moves this many ticks
+resize_frac         = 0.15    # or if size drifts this fraction
+min_edge_ticks      = 1       # never quote inside (FV +/- this) * tick
+# --- regime ---
+event_cooloff_s     = 60
+event_jump_ticks    = 8       # FV jump over debounce that flags EVENT
+event_sweep_levels  = 3       # levels consumed in one print that flags EVENT
+trend_flow_z        = 1.5     # flow z-score that flags TRENDING
+# --- lifecycle ---
+end_date_taper_days = 7
+reduce_only_hours   = 24
+halt_before_hours   = 2
+# --- exits ---
+exit_urgency_s      = 900     # time to walk exit from FV+delta to best-bid+tick
+merge_min_size      = 20.0    # min(YES,NO) shares to trigger a merge
+
+[profiles.political-hot]
+# tighter, defensive profile for high-volatility / event-prone markets
+micro_levels        = 3
+flow_ewma_halflife_s = 60
+gamma               = 0.9
+delta_min_ticks     = 3
+c_vol               = 1.8
+c_tox               = 3.0
+vol_short_halflife_s = 8
+vol_long_halflife_s  = 600
+base_size_usdc      = 30.0
+q_max_usdc          = 250.0
+q_soft_frac         = 0.5
+layers              = 2
+layer_step_ticks    = 3
+reprice_ticks       = 2
+resize_frac         = 0.15
+min_edge_ticks      = 1
+event_cooloff_s     = 120
+event_jump_ticks    = 6
+event_sweep_levels  = 2
+trend_flow_z        = 1.2
+end_date_taper_days = 7
+reduce_only_hours   = 24
+halt_before_hours   = 2
+exit_urgency_s      = 600
+merge_min_size      = 20.0