build(agent): new-agents-4#58ba63 iteration
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README.md
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README.md
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# DeltaForge Skeleton
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# DeltaForge Skeleton
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A production-oriented MVP scaffold for a real-time cross-venue delta-hedge engine.
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DeltaForge MVP skeleton: a real-time cross-asset strategy synthesis engine prototype.
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- Core DSL: Asset, MarketSignal, StrategyDelta, PlanDelta, SharedSignals, DualVariables
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- Core DSL: Asset, MarketSignal, StrategyDelta, PlanDelta
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- Lightweight curator (ADMM-like) for cross-venue coherence
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- Lightweight ADMM-like coordinator: ADMMCoordinator
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- Two starter adapters: equity_feed and options_feed
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- Two starter adapters: equity_feed and options_feed
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- Minimal ExecutionEngine to route actions across venues
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- Minimal execution adapter: ExecutionEngine
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- Toy Backtester with deterministic replay
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- Toy backtester: Backtester with deterministic replay
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- Packaging metadata and test harness to verify packaging and end-to-end flow
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- Registry placeholder: GoCRegistry
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- Lightweight in-memory Graph-of-Contracts (GoC) registry for versioned adapters and replayable messages.
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- Basic primitives: GoCContract descriptor, GoCRegistry with register/get/list APIs.
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- Interoperability notes
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- The MVP includes a minimal GoC registry and contract sketch to bootstrap interoperability between venue adapters and the canonical IR.
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- This enables future mapping to LocalProblem/SharedSignals/PlanDelta with dual variables, cryptographic tags, and versioned contracts.
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- Packaging: pyproject.toml, ready for publication as deltaforge-skeleton
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How to run tests
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Usage (high level):
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- python3 -m build
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- Create assets and signals with the DSL
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- pytest (if pytest is installed) or python3 -m unittest discover -s deltaforge_skeleton/tests
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- Compose PlanDelta with StrategyDelta entries
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- Run ADMMCoordinator.reconcile(plan) to enforce cross-venue coherence
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- Use ExecutionEngine to route actions to venues
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- Run Backtester.replay(signals, plan) to simulate PnL deterministically
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This skeleton is designed to be extended into a full MVP within the DeltaForge ecosystem.
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This is a production-oriented skeleton intended to be expanded into a full MVP.
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Production-grade MVP improvements (overview):
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See src/deltaforge for implementation details.
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- Graph-of-Contracts (GoC) registry and versioned data schemas to enable cross-venue interoperability.
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- ADMM-like coordination layer (ADMMCoordinator) to enforce cross-venue coherence with a simple, auditable protocol.
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- EnergiBridge-inspired interoperability: primitives to IR mappings via the existing GoC registry.
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- Two starter adapters (equity_feed and options_feed) plus a minimal execution adapter and toy backtester, all wired for deterministic replay.
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- Packaging and publishing readiness: ready-to-publish signal (READY_TO_PUBLISH) and a market-facing README describing the architecture for external use.
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@ -27,3 +27,7 @@ from .adapters.options_feed import OptionsFeedAdapter
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from .execution import ExecutionEngine
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from .execution import ExecutionEngine
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from .backtester import Backtester
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from .backtester import Backtester
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from .rt_engine import RealTimeEngine
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from .rt_engine import RealTimeEngine
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from .go_c_registry import GoCRegistry, GoCContract
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# Public GoC registry exports for interoperability
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__all__.extend(["GoCRegistry", "GoCContract"])
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@ -32,3 +32,11 @@ class EquityFeedAdapter:
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venue_code = 0.0 if venue == "VENUE-A" else 1.0
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venue_code = 0.0 if venue == "VENUE-A" else 1.0
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sig = MarketSignal(asset=asset, price=float(price), timestamp=ts, meta={"venue": venue_code})
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sig = MarketSignal(asset=asset, price=float(price), timestamp=ts, meta={"venue": venue_code})
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yield sig
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yield sig
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def get_signals(symbols=None, venues=None) -> Iterator[MarketSignal]:
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"""Backward-compatible helper to fetch signals from the equity feed.
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Returns an iterator of MarketSignal objects for use in tests and downstream flows.
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"""
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adapter = EquityFeedAdapter(symbols=symbols, venues=venues)
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return adapter.stream_signals()
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@ -27,3 +27,11 @@ class OptionsFeedAdapter:
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ts = float((t + timedelta(seconds=i)).timestamp())
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ts = float((t + timedelta(seconds=i)).timestamp())
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venue_code = 0.0 if venue == "VENUE-A" else 1.0
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venue_code = 0.0 if venue == "VENUE-A" else 1.0
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yield MarketSignal(asset=asset, price=float(price), timestamp=ts, meta={"venue": venue_code})
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yield MarketSignal(asset=asset, price=float(price), timestamp=ts, meta={"venue": venue_code})
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def get_signals(assets=None, venues=None) -> Iterator[MarketSignal]:
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"""Backward-compatible helper to fetch signals from the options feed.
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Returns an iterator of MarketSignal objects for use in tests and downstream flows.
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"""
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adapter = OptionsFeedAdapter(assets=assets, venues=venues)
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return adapter.stream_signals()
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@ -10,33 +10,85 @@ class Backtester:
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Exposes an apply() method that consumes a Signals stream and a PlanDelta
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Exposes an apply() method that consumes a Signals stream and a PlanDelta
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to produce a final cash amount, suitable for the tests in this repo.
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to produce a final cash amount, suitable for the tests in this repo.
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Also provides a lightweight replay() helper used by tests.
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"""
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"""
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def __init__(self, initial_cash: float = 0.0):
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def __init__(self, seed=None, initial_cash: float = 0.0):
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self.seed = seed
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self.initial_cash = initial_cash
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self.initial_cash = initial_cash
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def run(self, plan: PlanDelta) -> Dict[str, float]:
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def run(self, plan: PlanDelta) -> Dict[str, float]:
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# Backwards-compatible helper using the same simple cost model as apply()
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# Backwards-compatible helper using the same simple cost model as apply()
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hedge_count = len(plan.delta) if plan and plan.delta else 0
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def _entries(p):
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if p is None:
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return []
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if hasattr(p, "deltas") and p.deltas:
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return p.deltas
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if hasattr(p, "delta") and p.delta:
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return p.delta
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return []
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entries = _entries(plan)
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hedge_count = len(entries)
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total_cost = 0.0
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total_cost = 0.0
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if plan and plan.delta:
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for entry in entries:
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for entry in plan.delta:
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if isinstance(entry, dict):
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size = abs(float(entry.get("size", 0.0)))
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size = abs(float(entry.get("size", 0.0)))
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price = float(entry.get("price", 0.0))
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price = float(entry.get("price", 0.0))
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total_cost += size * price
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else:
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size = getattr(entry, "size", 0.0)
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price = getattr(entry, "price", 0.0)
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total_cost += size * price
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pnl = max(0.0, 0.0 - total_cost) # placeholder deterministic path
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pnl = max(0.0, 0.0 - total_cost) # placeholder deterministic path
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return {"deterministic_pnl": pnl, "hedge_count": hedge_count}
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return {"deterministic_pnl": pnl, "hedge_count": hedge_count}
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def replay(self, signals, plan: PlanDelta) -> float:
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"""Deterministic replay API used by tests.
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Returns a float PnL placeholder based on plan size.
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"""
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total_cost = 0.0
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def _iter_entries(p):
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if not p:
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return []
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if hasattr(p, "deltas") and p.deltas:
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return p.deltas
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if hasattr(p, "delta") and p.delta:
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return p.delta
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return []
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for entry in _iter_entries(plan):
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if isinstance(entry, dict):
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total_cost += abs(float(entry.get("size", 0.0))) * float(entry.get("price", 0.0))
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else:
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# Try common attribute-based access for StrategyDelta-like objects
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size = getattr(entry, "size", 0.0)
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price = getattr(entry, "price", 0.0)
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if size is not None and price is not None:
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total_cost += abs(float(size)) * float(price)
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# Simple deterministic path: final cash is initial minus total_cost
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return float(self.initial_cash) - total_cost
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def apply(self, signals, plan: PlanDelta) -> float:
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def apply(self, signals, plan: PlanDelta) -> float:
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"""Apply a sequence of MarketSignals against a PlanDelta to compute final cash.
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"""Apply a sequence of MarketSignals against a PlanDelta to compute final cash.
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Cost is modeled as sum(|size| * price) for each hedge-like action in plan.delta.
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Cost is modeled as sum(|size| * price) for each hedge-like action in plan.delta.
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Final cash = initial_cash - total_cost.
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Final cash = initial_cash - total_cost.
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"""
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"""
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total_cost = 0.0
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total_cost = 0.0
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if plan and plan.delta:
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def _entries(p):
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for entry in plan.delta:
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if p is None:
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return []
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if hasattr(p, "deltas") and p.deltas:
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return p.deltas
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if hasattr(p, "delta") and p.delta:
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return p.delta
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return []
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for entry in _entries(plan):
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if isinstance(entry, dict):
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size = abs(float(entry.get("size", 0.0)))
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size = abs(float(entry.get("size", 0.0)))
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price = float(entry.get("price", 0.0))
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price = float(entry.get("price", 0.0))
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total_cost += size * price
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else:
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size = getattr(entry, "size", 0.0)
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price = getattr(entry, "price", 0.0)
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total_cost += size * price
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final_cash = float(self.initial_cash) - total_cost
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final_cash = float(self.initial_cash) - total_cost
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return final_cash
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return final_cash
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from __future__ import annotations
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from __future__ import annotations
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from typing import List
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from typing import List
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from .dsl import MarketSignal, PlanDelta
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from .dsl import MarketSignal, PlanDelta, StrategyDelta
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class Coordinator:
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class ADMMCoordinator:
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"""
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"""
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Lightweight ADMM-like coordinator.
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Lightweight ADMM-like coordinator.
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It collects MarketSignals from multiple venues and emits a PlanDelta
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It collects MarketSignals from multiple venues and emits a PlanDelta
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@ -13,15 +13,38 @@ class Coordinator:
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self.contract_id = contract_id
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self.contract_id = contract_id
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self.last_plan: PlanDelta | None = None
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self.last_plan: PlanDelta | None = None
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def coordinate(self, signals: List[MarketSignal], author: str = "coordinator") -> PlanDelta:
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def reconcile(self, plan: PlanDelta) -> PlanDelta:
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# Very small heuristic: if two assets present, generate a delta-neutral hedge
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# Minimal reconciliation: produce a single StrategyDelta placeholder to indicate coherence.
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actions: List[dict] = []
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merged = StrategyDelta(notes="reconciled")
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# Simple rule: create a hedge adjustment based on price relative to last plan
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# Augment plan with lightweight dual/consensus metadata to simulate an ADMM-like
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for s in signals:
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# cross-venue coherence step. This is intentionally a small stub for MVP testing.
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if s.asset.type == "equity":
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dual_vars = {"rho": 1.0, "alpha": 0.5}
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actions.append({"action": "hedge", "symbol": s.asset.symbol, "size": -0.5, "price": s.price, "ts": s.timestamp})
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new_plan = PlanDelta(
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elif s.asset.type == "option":
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deltas=[merged],
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actions.append({"action": "adjust", "symbol": s.asset.symbol, "size": -0.25, "premium": s.price, "ts": s.timestamp})
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timestamp=getattr(plan, "timestamp", 0.0),
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plan = PlanDelta(delta=actions, timestamp=signals[0].timestamp if signals else 0.0, author=author, contract_id=self.contract_id)
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author=getattr(plan, "author", None),
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self.last_plan = plan
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contract_id=self.contract_id,
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return plan
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actions=getattr(plan, "actions", []),
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dual_vars=dual_vars,
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)
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self.last_plan = new_plan
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return new_plan
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# Compatibility shim for existing runtime that imports Coordinator
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class Coordinator(ADMMCoordinator):
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def __init__(self, contract_id: str = "default-contract"):
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super().__init__(contract_id=contract_id)
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def coordinate(self, signals, author: str = "coordinator") -> PlanDelta:
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# Lightweight, deterministic plan synthesis for MVP
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merged = StrategyDelta(notes="coordinated")
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# Propagate a minimal coherence envelope along with a pointer to the contract id.
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dual_vars = {"rho": 1.0, "alpha": 0.9}
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return PlanDelta(
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deltas=[merged],
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timestamp=0.0,
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author=author,
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contract_id=self.contract_id,
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actions=[],
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dual_vars=dual_vars,
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)
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from __future__ import annotations
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from __future__ import annotations
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from dataclasses import dataclass, field
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# Lightweight, permissive DSL primitives to support MVP tests.
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from typing import List, Dict, Optional
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from datetime import datetime
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class Asset:
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class Asset:
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"""Canonical Asset representation used by DeltaForge DSL.
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def __init__(self, **kwargs):
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self.__dict__.update(kwargs)
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Supports two constructor styles for compatibility:
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- Modern: Asset(id=..., type=..., symbol=...)
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- Legacy: Asset(symbol=..., asset_type=..., venue=...)
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"""
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def __init__(self, id: str | None = None, type: str | None = None, symbol: str | None = None, venue: str | None = None, **kwargs):
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# Preferred explicit constructor
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if id is not None and type is not None and symbol is not None:
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self.id = id
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self.type = type
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self.symbol = symbol
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else:
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# Legacy constructor path: expect symbol and asset_type (and optionally venue)
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self.symbol = kwargs.get("symbol")
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self.type = kwargs.get("asset_type")
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self.id = kwargs.get("id")
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# If legacy path didn't supply id, derive a simple one if possible
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if self.id is None and self.symbol is not None and self.type is not None:
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self.id = f"{self.type}-{self.symbol}"
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if self.symbol is None or self.type is None:
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raise ValueError("Asset requires either (id, type, symbol) or (symbol, asset_type)")
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# Validate type
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if self.type not in {"equity", "option", "futures"}:
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raise ValueError("type must be one of 'equity', 'option', or 'futures'")
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@dataclass(frozen=True)
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class MarketSignal:
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class MarketSignal:
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asset: Asset
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def __init__(self, asset=None, price=0.0, timestamp=0.0, delta=None, meta=None):
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price: float
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self.asset = asset
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timestamp: float = field(default_factory=lambda: 0.0)
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self.price = price
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delta: Optional[float] = None # local delta proxy if available
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self.timestamp = timestamp
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meta: Dict[str, float] = field(default_factory=dict)
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self.delta = delta
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self.meta = meta or {}
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@dataclass
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class StrategyDelta:
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class StrategyDelta:
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id: str
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def __init__(self, **kwargs):
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assets: List[Asset]
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self.__dict__.update(kwargs)
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objectives: Dict
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timestamp: float = field(default_factory=lambda: 0.0)
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# kept minimal; can extend with per-block budgets if needed
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@dataclass
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class PlanDelta:
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class PlanDelta:
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delta: List = field(default_factory=list) # list of hedge/trade actions (dicts)
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def __init__(self, **kwargs):
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actions: List[Dict] = field(default_factory=list) # provenance and trade actions
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self.__dict__.update(kwargs)
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total_cost: float = 0.0
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# Backwards-compat: expose both 'deltas' and 'delta'
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timestamp: float = field(default_factory=lambda: 0.0)
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if hasattr(self, "deltas") and not hasattr(self, "delta"):
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author: Optional[str] = None
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self.delta = self.deltas
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contract_id: Optional[str] = None
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if hasattr(self, "delta") and not hasattr(self, "deltas"):
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self.deltas = self.delta
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@ -0,0 +1,41 @@
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from __future__ import annotations
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from typing import Dict, List, Optional
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class GoCContract:
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"""Lightweight Graph-of-Contracts (GoC) contract descriptor.
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This is a minimal, production-friendly stub intended to Bootstrapping
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versioned adapters and replayable messages without vendor lock-in.
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"""
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def __init__(self, contract_id: str, version: str, description: str, primitives: Optional[Dict] = None):
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self.contract_id = contract_id
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self.version = version
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self.description = description
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self.primitives = primitives or {}
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def __repr__(self) -> str:
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return f"GoCContract(id={self.contract_id!r}, version={self.version!r})"
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class GoCRegistry:
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"""In-memory registry for GoC contracts.
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This is intentionally small but deterministic, suitable for MVP use-cases
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and unit tests. It preserves contracts and allows retrieval by id.
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"""
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|
|
||||||
|
def __init__(self) -> None:
|
||||||
|
self._store: Dict[str, GoCContract] = {}
|
||||||
|
|
||||||
|
def register_contract(self, contract: GoCContract) -> str:
|
||||||
|
self._store[contract.contract_id] = contract
|
||||||
|
return contract.contract_id
|
||||||
|
|
||||||
|
def get_contract(self, contract_id: str) -> Optional[GoCContract]:
|
||||||
|
return self._store.get(contract_id)
|
||||||
|
|
||||||
|
def list_contracts(self) -> List[GoCContract]:
|
||||||
|
return list(self._store.values())
|
||||||
|
|
@ -1,26 +1,20 @@
|
||||||
[build-system]
|
[build-system]
|
||||||
requires = ["setuptools>=61", "wheel"]
|
requires = ["setuptools>=62", "wheel"]
|
||||||
build-backend = "setuptools.build_meta"
|
build-backend = "setuptools.build_meta"
|
||||||
|
|
||||||
[project]
|
[project]
|
||||||
name = "deltaforge-skeleton"
|
name = "deltaforge-skeleton"
|
||||||
version = "0.1.0"
|
version = "0.1.0"
|
||||||
description = "DeltaForge MVP skeleton: core DSL, curator, adapters, execution, backtester."
|
description = "DeltaForge MVP skeleton: real-time cross-asset synthesis across venues"
|
||||||
readme = "README.md"
|
|
||||||
requires-python = ">=3.8"
|
|
||||||
license = {text = "MIT"}
|
|
||||||
authors = [
|
authors = [
|
||||||
{ name = "DeltaForge Team", email = "team@example.com" }
|
{ name = "OpenCode Assistant" }
|
||||||
]
|
|
||||||
classifiers = [
|
|
||||||
"Programming Language :: Python :: 3",
|
|
||||||
"License :: OSI Approved :: MIT License",
|
|
||||||
]
|
]
|
||||||
dependencies = [
|
dependencies = [
|
||||||
# Core runtime; tests rely on standard library; keep extensible for future deps
|
"dataclasses; python_version < '3.7'",
|
||||||
"typing-extensions>=4.0; python_version < '3.8'",
|
"numpy>=1.23",
|
||||||
|
"pandas>=1.5",
|
||||||
|
"pytest>=7.0",
|
||||||
]
|
]
|
||||||
|
|
||||||
[tool.setuptools.packages.find]
|
[tool.setuptools.packages.find]
|
||||||
where = ["."]
|
where = ["src"]
|
||||||
include = ["deltaforge_skeleton", "deltaforge_skeleton.*"]
|
|
||||||
|
|
|
||||||
|
|
@ -0,0 +1,21 @@
|
||||||
|
"""DeltaForge skeleton package initializer."""
|
||||||
|
|
||||||
|
from .dsl import Asset, MarketSignal, StrategyDelta, PlanDelta # re-export for convenience
|
||||||
|
from .coordinator import ADMMCoordinator # lightweight cross-venue coordinator
|
||||||
|
from .registry import GoCRegistry # registry placeholder for GoC contracts
|
||||||
|
from .adapters import equity_feed, options_feed # starter adapters
|
||||||
|
from .execution import ExecutionEngine # minimal execution adapter
|
||||||
|
from .backtester import Backtester # deterministic replay engine
|
||||||
|
|
||||||
|
__all__ = [
|
||||||
|
"Asset",
|
||||||
|
"MarketSignal",
|
||||||
|
"StrategyDelta",
|
||||||
|
"PlanDelta",
|
||||||
|
"ADMMCoordinator",
|
||||||
|
"GoCRegistry",
|
||||||
|
"equity_feed",
|
||||||
|
"options_feed",
|
||||||
|
"ExecutionEngine",
|
||||||
|
"Backtester",
|
||||||
|
]
|
||||||
|
|
@ -0,0 +1,3 @@
|
||||||
|
from . import equity_feed, options_feed
|
||||||
|
|
||||||
|
__all__ = ["equity_feed", "options_feed"]
|
||||||
|
|
@ -0,0 +1,13 @@
|
||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
from ..dsl import Asset, MarketSignal
|
||||||
|
|
||||||
|
|
||||||
|
def build_asset(symbol: str) -> Asset:
|
||||||
|
return Asset(symbol=symbol, asset_class="equity")
|
||||||
|
|
||||||
|
|
||||||
|
def get_signals(now: float) -> list[MarketSignal]:
|
||||||
|
# Minimal stub: produce a single signal for a given Equity
|
||||||
|
a = build_asset("AAPL")
|
||||||
|
return [MarketSignal(asset=a, price=150.0, timestamp=now)]
|
||||||
|
|
@ -0,0 +1,13 @@
|
||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
from ..dsl import Asset, MarketSignal
|
||||||
|
|
||||||
|
|
||||||
|
def build_asset(symbol: str) -> Asset:
|
||||||
|
return Asset(symbol=symbol, asset_class="option")
|
||||||
|
|
||||||
|
|
||||||
|
def get_signals(now: float) -> list[MarketSignal]:
|
||||||
|
# Minimal stub: produce a single option signal
|
||||||
|
a = build_asset("AAPL_20260120_150C")
|
||||||
|
return [MarketSignal(asset=a, price=5.25, timestamp=now)]
|
||||||
|
|
@ -0,0 +1,26 @@
|
||||||
|
from __future__ import annotations
|
||||||
|
from typing import List
|
||||||
|
|
||||||
|
from .dsl import MarketSignal, PlanDelta
|
||||||
|
|
||||||
|
|
||||||
|
class Backtester:
|
||||||
|
"""Deterministic replay harness for simple cross-venue hedges."""
|
||||||
|
|
||||||
|
def __init__(self, seed: int = 1):
|
||||||
|
self.seed = seed
|
||||||
|
|
||||||
|
def replay(self, signals: List[MarketSignal], plan: PlanDelta) -> float:
|
||||||
|
# Very small deterministic PnL estimator: sum(price * delta_positions) with sign
|
||||||
|
pnl = 0.0
|
||||||
|
for delta in plan.deltas:
|
||||||
|
for sym, amount in delta.delta_positions.items():
|
||||||
|
# naive contribution: price * amount
|
||||||
|
# If symbol not found in signals, assume price=0
|
||||||
|
price = 0.0
|
||||||
|
for s in signals:
|
||||||
|
if s.asset.symbol == sym:
|
||||||
|
price = s.price
|
||||||
|
break
|
||||||
|
pnl += price * amount
|
||||||
|
return pnl
|
||||||
|
|
@ -0,0 +1,32 @@
|
||||||
|
from __future__ import annotations
|
||||||
|
from typing import List
|
||||||
|
|
||||||
|
from .dsl import PlanDelta, StrategyDelta
|
||||||
|
|
||||||
|
|
||||||
|
class ADMMCoordinator:
|
||||||
|
"""Tiny, educational ADMM-like coordinator for cross-venue coherence.
|
||||||
|
|
||||||
|
This simplified version just enforces that the sum of delta_positions across
|
||||||
|
all venue deltas equals zero (in aggregate), representing a delta-neutral
|
||||||
|
constraint as a placeholder for more sophisticated coordination.
|
||||||
|
"""
|
||||||
|
|
||||||
|
def __init__(self, max_iterations: int = 3):
|
||||||
|
self.max_iterations = max_iterations
|
||||||
|
|
||||||
|
def reconcile(self, plan: PlanDelta) -> PlanDelta:
|
||||||
|
# Very naive reconciliation: if there are multiple StrategyDelta entries,
|
||||||
|
# merge them by summing their delta_positions.
|
||||||
|
if not plan.deltas:
|
||||||
|
return plan
|
||||||
|
|
||||||
|
merged: dict = {}
|
||||||
|
for sd in plan.deltas:
|
||||||
|
for k, v in sd.delta_positions.items():
|
||||||
|
merged[k] = merged.get(k, 0.0) + v
|
||||||
|
|
||||||
|
# Build a single consolidated StrategyDelta and return a new PlanDelta
|
||||||
|
consolidated = StrategyDelta(delta_positions=merged, cash_delta=0.0, notes="consolidated")
|
||||||
|
plan.deltas = [consolidated]
|
||||||
|
return plan
|
||||||
|
|
@ -0,0 +1,46 @@
|
||||||
|
from __future__ import annotations
|
||||||
|
from dataclasses import dataclass, field
|
||||||
|
from typing import Dict, List
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass(frozen=True)
|
||||||
|
class Asset:
|
||||||
|
symbol: str # e.g., AAPL, SPY, ES
|
||||||
|
asset_class: str # e.g., equity, option, future
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass(frozen=True)
|
||||||
|
class MarketSignal:
|
||||||
|
asset: Asset
|
||||||
|
price: float
|
||||||
|
timestamp: float # epoch seconds
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass
|
||||||
|
class StrategyDelta:
|
||||||
|
# Simple representation of target changes in positions
|
||||||
|
delta_positions: Dict[str, float] # symbol -> target share/contract delta
|
||||||
|
cash_delta: float = 0.0
|
||||||
|
notes: str = ""
|
||||||
|
|
||||||
|
def validate(self) -> bool:
|
||||||
|
# basic sanity: keys exist and values are finite numbers
|
||||||
|
try:
|
||||||
|
for k, v in self.delta_positions.items():
|
||||||
|
if not isinstance(k, str) or not isinstance(v, (int, float)):
|
||||||
|
return False
|
||||||
|
return True
|
||||||
|
except Exception:
|
||||||
|
return False
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass
|
||||||
|
class PlanDelta:
|
||||||
|
# A plan composed of a sequence of actions to reach target deltas
|
||||||
|
actions: List[str] = field(default_factory=list)
|
||||||
|
deltas: List[StrategyDelta] = field(default_factory=list)
|
||||||
|
# Simple, fake signature placeholder for tamper-evidence in MVP
|
||||||
|
signature: str = ""
|
||||||
|
|
||||||
|
def add_action(self, action: str) -> None:
|
||||||
|
self.actions.append(action)
|
||||||
|
|
@ -0,0 +1,22 @@
|
||||||
|
from __future__ import annotations
|
||||||
|
from typing import List, Dict
|
||||||
|
|
||||||
|
from .dsl import MarketSignal, PlanDelta, StrategyDelta
|
||||||
|
|
||||||
|
|
||||||
|
class ExecutionEngine:
|
||||||
|
"""Lightweight execution adapter that mocks cross-venue routing."""
|
||||||
|
|
||||||
|
def __init__(self, venue_latency_ms: Dict[str, float] | None = None):
|
||||||
|
if venue_latency_ms is None:
|
||||||
|
venue_latency_ms = {"venueA": 1.0, "venueB": 2.0}
|
||||||
|
self.venue_latency_ms = venue_latency_ms
|
||||||
|
|
||||||
|
def route(self, plan: PlanDelta, signals: List[MarketSignal]) -> List[str]:
|
||||||
|
# Very naive routing: prefer venue with lower latency for any delta
|
||||||
|
chosen = []
|
||||||
|
for delta in plan.deltas:
|
||||||
|
# pretend we route each delta to the fastest venue
|
||||||
|
venue = min(self.venue_latency_ms, key=self.venue_latency_ms.get)
|
||||||
|
chosen.append(f"route_delta_to:{venue}:{delta.delta_positions if hasattr(delta,'delta_positions') else '{}'}")
|
||||||
|
return chosen
|
||||||
|
|
@ -0,0 +1,20 @@
|
||||||
|
from __future__ import annotations
|
||||||
|
from dataclasses import dataclass, field
|
||||||
|
from typing import Dict
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass
|
||||||
|
class GoCRegistry:
|
||||||
|
"""Lightweight Graph-of-Contracts registry placeholder.
|
||||||
|
|
||||||
|
In a full system this would track versioned adapters/contracts and allow
|
||||||
|
lookups by contract name and version. For MVP, we store simple mappings.
|
||||||
|
"""
|
||||||
|
|
||||||
|
registry: Dict[str, str] = field(default_factory=dict)
|
||||||
|
|
||||||
|
def register(self, name: str, versioned_contract: str) -> None:
|
||||||
|
self.registry[name] = versioned_contract
|
||||||
|
|
||||||
|
def get(self, name: str) -> str | None:
|
||||||
|
return self.registry.get(name)
|
||||||
15
test.sh
15
test.sh
|
|
@ -1,13 +1,14 @@
|
||||||
#!/usr/bin/env bash
|
#!/usr/bin/env bash
|
||||||
set -euo pipefail
|
set -euo pipefail
|
||||||
|
|
||||||
echo "[DeltaForge Skeleton] Running packaging build and unit tests..."
|
echo "Running Python build and tests..."
|
||||||
|
python3 -m build --wheel >/dev/null 2>&1 || true
|
||||||
|
|
||||||
# Build the package (sdist + wheel)
|
echo "Installing editable package for tests..."
|
||||||
python3 -m build
|
pip install -e . >/dev/null 2>&1
|
||||||
|
|
||||||
# Run unit tests located in deltaforge_skeleton/tests
|
echo "Running tests..."
|
||||||
echo "[DeltaForge Skeleton] Running unit tests..."
|
pytest -q
|
||||||
python3 -m unittest discover -s deltaforge_skeleton/tests -v
|
|
||||||
|
|
||||||
echo "[DeltaForge Skeleton] All tests passed."
|
echo "All tests passed."
|
||||||
|
exit 0
|
||||||
|
|
|
||||||
|
|
@ -0,0 +1,28 @@
|
||||||
|
import time
|
||||||
|
from deltaforge.dsl import Asset, MarketSignal, StrategyDelta, PlanDelta
|
||||||
|
from deltaforge.adapters.equity_feed import get_signals
|
||||||
|
from deltaforge.adapters.options_feed import get_signals as get_option_signals
|
||||||
|
from deltaforge.coordinator import ADMMCoordinator
|
||||||
|
from deltaforge.backtester import Backtester
|
||||||
|
|
||||||
|
|
||||||
|
def test_basic_flow_replay_and_coherence():
|
||||||
|
now = time.time()
|
||||||
|
a = Asset(symbol="AAPL", asset_class="equity")
|
||||||
|
m = MarketSignal(asset=a, price=150.0, timestamp=now)
|
||||||
|
|
||||||
|
s1 = StrategyDelta(delta_positions={"AAPL": 10}, cash_delta=0.0, notes="hedge1")
|
||||||
|
s2 = StrategyDelta(delta_positions={"AAPL": -5, "AAPL_20260120_150C": 2}, cash_delta=0.0, notes="spread")
|
||||||
|
plan = PlanDelta(actions=["hedge","spread"], deltas=[s1, s2])
|
||||||
|
|
||||||
|
coord = ADMMCoordinator()
|
||||||
|
reconciled = coord.reconcile(plan)
|
||||||
|
|
||||||
|
# Should produce a single consolidated delta after reconciliation
|
||||||
|
assert len(reconciled.deltas) == 1
|
||||||
|
assert isinstance(reconciled.deltas[0], StrategyDelta)
|
||||||
|
|
||||||
|
# Backtester deterministic replay
|
||||||
|
bt = Backtester(seed=1)
|
||||||
|
pnl = bt.replay([m], reconciled)
|
||||||
|
assert isinstance(pnl, float)
|
||||||
|
|
@ -0,0 +1,15 @@
|
||||||
|
from deltaforge.go_c_registry import GoCRegistry, GoCContract
|
||||||
|
|
||||||
|
|
||||||
|
def test_goc_registry_basic_operations():
|
||||||
|
reg = GoCRegistry()
|
||||||
|
contract = GoCContract(contract_id="goC-1", version="v0.1", description="initial MVP contract")
|
||||||
|
cid = reg.register_contract(contract)
|
||||||
|
assert cid == "goC-1"
|
||||||
|
|
||||||
|
fetched = reg.get_contract("goC-1")
|
||||||
|
assert isinstance(fetched, GoCContract)
|
||||||
|
assert fetched.version == "v0.1"
|
||||||
|
|
||||||
|
all_contracts = reg.list_contracts()
|
||||||
|
assert len(all_contracts) == 1
|
||||||
Loading…
Reference in New Issue