85 lines
2.2 KiB
Python
85 lines
2.2 KiB
Python
from __future__ import annotations
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from dataclasses import dataclass, field
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from typing import List, Dict, Optional
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@dataclass
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class Asset:
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symbol: str
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asset_type: str # e.g., 'equity' or 'option'
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def __post_init__(self):
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if not self.symbol:
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raise ValueError("Asset.symbol must be non-empty")
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if self.asset_type not in {"equity", "option", "future"}:
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raise ValueError("asset_type must be 'equity', 'option', or 'future'")
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@dataclass
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class MarketSignal:
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asset: Asset
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price: float
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timestamp: float
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@dataclass
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class StrategyDelta:
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# A high-level delta that would be applied to a local problem
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asset: Asset
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delta: float
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theta: Optional[float] = None # optional auxiliary metric
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@dataclass
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class SharedSignals:
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prices: Dict[str, float] # symbol -> price
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greeks: Dict[str, Dict[str, float]] # symbol -> greek-name -> value
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liquidity: Dict[str, float] # symbol -> liquidity proxy
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@dataclass
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class DualVariables:
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coupling_multipliers: Dict[str, float] # venue_id -> multiplier
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@dataclass
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class PlanDelta:
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# A delta plan that can be applied to move a local problem toward feasibility
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actions: List[StrategyDelta] = field(default_factory=list)
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# Optional sequence of high-level orchestration steps or annotations
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steps: List[str] = field(default_factory=list)
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timestamp: float = 0.0
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safety_tags: List[str] = field(default_factory=list)
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@dataclass
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class LocalArbProblem:
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"""Canonical local arbitrage problem seed for a venue.
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Maps a venue-independent set of assets to objectives and constraints that solvers
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can attempt to satisfy locally before enforcing cross-venue coherence.
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"""
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venue: str
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assets: List[Asset]
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objectives: Dict[str, float] = field(default_factory=dict)
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constraints: Dict[str, float] = field(default_factory=dict)
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solver_hint: Optional[str] = None
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@dataclass
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class PrivacyBudget:
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budget: float = 0.0
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expiry: float = 0.0
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leakage_bound: float = 0.0
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@dataclass
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class AuditLog:
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entries: List[str] = field(default_factory=list)
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last_signature: Optional[str] = None
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@dataclass
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class PolicyBlock:
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safety: List[str] = field(default_factory=list)
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