41 lines
1.4 KiB
Markdown
41 lines
1.4 KiB
Markdown
DeltaForge DSL Sketch (MVP)
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Goal
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- Provide a human- and machine-readable description of hedging objectives, mapped to canonical assets and market signals.
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Core concepts
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- StrategyDelta: a local delta/vega/gamma adjustment for a single Asset.
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- Asset: canonical representation (equity, option, or future).
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- MarketSignal: observed market attributes for an Asset.
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- PlanDelta: an incremental, auditable collection of StrategyDelta blocks authored by a solver.
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Canonical representations
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- Asset can be one of:
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- equity: { type: 'equity', symbol: 'AAPL' }
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- option: { type: 'option', underlying: 'AAPL', strike: 150, expires: 'YYYY-MM-DD' }
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- future: { type: 'future', symbol: 'ES', expires: 'YYYY-MM-DD' }
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- StrategyDelta fields:
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- asset: Asset
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- delta: float
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- vega: float
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- gamma: float
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- target_pnl: optional float
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- max_order_size: float
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- timestamp: float
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PlanDelta fields:
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- deltas: List[StrategyDelta]
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- confidence: float
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- venue: optional str
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- author: str
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- timestamp: float
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- signature: optional str
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Adapters and translation
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- Adapters translate venue-specific messages into StrategyDelta objects.
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- The canonical PlanDelta is consumed by a central curator to enforce cross-venue constraints.
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Notes
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- This is a design sketch for the MVP; concrete serialization formats and protocol messages can be built atop this structure.
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