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