deltaforge-real-time-cross-asset-strateg/deltaforge_mvp/dsl_sketch.md

DeltaForge DSL Sketch (MVP)

Goal

• Provide a human- and machine-readable description of hedging objectives, mapped to canonical assets and market signals.

Core concepts

• StrategyDelta: a local delta/vega/gamma adjustment for a single Asset.
• Asset: canonical representation (equity, option, or future).
• MarketSignal: observed market attributes for an Asset.
• PlanDelta: an incremental, auditable collection of StrategyDelta blocks authored by a solver.

Canonical representations

• Asset can be one of:
  • equity: { type: 'equity', symbol: 'AAPL' }
  • option: { type: 'option', underlying: 'AAPL', strike: 150, expires: 'YYYY-MM-DD' }
  • future: { type: 'future', symbol: 'ES', expires: 'YYYY-MM-DD' }
• StrategyDelta fields:
  • asset: Asset
  • delta: float
  • vega: float
  • gamma: float
  • target_pnl: optional float
  • max_order_size: float
  • timestamp: float

PlanDelta fields:

• deltas: List[StrategyDelta]
• confidence: float
• venue: optional str
• author: str
• timestamp: float
• signature: optional str

Adapters and translation

• Adapters translate venue-specific messages into StrategyDelta objects.
• The canonical PlanDelta is consumed by a central curator to enforce cross-venue constraints.

Notes

• This is a design sketch for the MVP; concrete serialization formats and protocol messages can be built atop this structure.