42 lines
1.8 KiB
Python
42 lines
1.8 KiB
Python
from __future__ import annotations
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from typing import List
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from deltaforge_skeleton.core import MarketSignal, PlanDelta, StrategyDelta, Asset
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# Optional cross-venue coordination (ADMM-lite) import. The coordination
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# module is kept minimal to avoid imposing heavy dependencies on the MVP.
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try:
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from deltaforge_skeleton.coordination import ADMMCoordinator
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except Exception:
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ADMMCoordinator = None # type: ignore
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class Curator:
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def __init__(self):
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self.audit = []
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def synthesize(self, signals: List[MarketSignal]) -> PlanDelta:
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# Naive delta-synthesis: for each asset, create a delta hedge with 1x price weight
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steps: List[str] = []
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for s in signals:
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asset = s.asset
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# simple heuristic: hedge ratio proportional to liquidity and inverse of price
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hedge_ratio = max(0.0, min(1.0, 1.0 * (s.liquidity / max(1.0, s.price))))
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obj = StrategyDelta(asset=asset, hedge_ratio=hedge_ratio, target_pnl=0.0, constraints=[])
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steps.append(f"HEDGE {asset.symbol} with ratio {hedge_ratio:.3f}")
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plan = PlanDelta(steps=steps, timestamp=0.0, provenance="deltaforge-skeleton-curation")
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self.audit.append("synthesized plan from signals")
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# Optional cross-venue coordination: if a real ADMM coordinator is available,
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# attempt to coordinate across a default two-venue setup. This keeps the MVP
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# lightweight while enabling future multi-venue coherence checks.
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if ADMMCoordinator is not None:
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try:
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coordinator = ADMMCoordinator()
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plan = coordinator.coordinate(plan, venues=["VenueA", "VenueB"])
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except Exception:
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# Silently ignore coordination issues to preserve existing behavior
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pass
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return plan
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