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DeltaForge Skeleton

DeltaForge Real-Time Cross-Asset Strategy Synthesis Engine

Overview

  • DeltaForge is an open-source engine that synthesizes, validates, and executes hedging/arbitrage strategies across assets and venues with low latency.
  • MVP focuses on two assets across two venues with a simple delta-hedge and cross-venue spread demonstration.

Architecture (mapping to code in this repository)

  • Core DSL: Asset, MarketSignal, StrategyDelta, PlanDelta (src/deltaforge/dsl.py)
  • Lightweight ADMM-like coordinator: ADMMCoordinator (src/deltaforge/coordinator.py)
  • Graph-of-Contracts registry: GoCRegistry (src/deltaforge/registry.py)
  • Adapters: equity_feed and options_feed (src/deltaforge/adapters)
  • Execution layer: ExecutionEngine (src/deltaforge/execution.py)
  • Backtester: Backtester (src/deltaforge/backtester.py)
  • Tamper-evident/logging placeholders: signature fields in PlanDelta
  • Two starter adapters for data feeds: equity_feed and options_feed

Usage (high level)

  • Create assets and signals with the DSL
  • Compose PlanDelta with StrategyDelta entries
  • Run ADMMCoordinator.reconcile(plan) to enforce cross-venue coherence
  • Use ExecutionEngine to route actions to venues
  • Run Backtester.replay(signals, plan) to simulate PnL deterministically

Packaging and publishing

  • This project is configured as deltaforge-skeleton in pyproject.toml
  • To publish, ensure READY_TO_PUBLISH exists (empty file is fine) and run your usual publish workflow
  • README.md is hooked into packaging via readme = "README.md" in pyproject.toml

Roadmap (high level)

  • Expand GoC registry, versioned contracts, and interoperability with external IRs
  • Add a minimal deterministic replay harness for end-to-end testing across venues
  • Add more realistic latency-aware routing and cryptographic tags for auditability
  • Produce a comprehensive test suite ensuring deterministic outcomes

See src/deltaforge for implementation details.

  • Core DSL: Asset, MarketSignal, StrategyDelta, PlanDelta

  • Lightweight ADMM-like coordinator: ADMMCoordinator

  • Two starter adapters: equity_feed and options_feed

  • Additional adapters: venueA_feed (data feed) and venueB_trade (execution broker) for cross-venue demos

  • Interoperability bridge: a lightweight EnergiBridge-style canonical IR mapping via src/deltaforge/bridge.py

  • Orchestration demo: src/deltaforge/orchestrator.py demonstrates end-to-end flow using the built-in components

  • Minimal execution adapter: ExecutionEngine

  • Toy backtester: Backtester with deterministic replay

  • Registry placeholder: GoCRegistry

    • Lightweight in-memory Graph-of-Contracts (GoC) registry for versioned adapters and replayable messages.
    • Basic primitives: GoCContract descriptor, GoCRegistry with register/get/list APIs.

  • Interoperability notes

    • The MVP includes a minimal GoC registry and contract sketch to bootstrap interoperability between venue adapters and the canonical IR.
    • This enables future mapping to LocalProblem/SharedSignals/PlanDelta with dual variables, cryptographic tags, and versioned contracts.

  • Packaging: pyproject.toml, ready for publication as deltaforge-skeleton

Usage (high level):

  • Create assets and signals with the DSL
  • Compose PlanDelta with StrategyDelta entries
  • Run ADMMCoordinator.reconcile(plan) to enforce cross-venue coherence
  • Use ExecutionEngine to route actions to venues
  • Run Backtester.replay(signals, plan) to simulate PnL deterministically

This is a production-oriented skeleton intended to be expanded into a full MVP.

See src/deltaforge for implementation details.