23 lines
974 B
Python
23 lines
974 B
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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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 = []
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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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return plan
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