62 lines
3.2 KiB
Markdown
62 lines
3.2 KiB
Markdown
# DeltaForge Skeleton
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DeltaForge Real-Time Cross-Asset Strategy Synthesis Engine
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Overview
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- DeltaForge is an open-source engine that synthesizes, validates, and executes hedging/arbitrage strategies across assets and venues with low latency.
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- MVP focuses on two assets across two venues with a simple delta-hedge and cross-venue spread demonstration.
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Architecture (mapping to code in this repository)
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- Core DSL: Asset, MarketSignal, StrategyDelta, PlanDelta (src/deltaforge/dsl.py)
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- Lightweight ADMM-like coordinator: ADMMCoordinator (src/deltaforge/coordinator.py)
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- Graph-of-Contracts registry: GoCRegistry (src/deltaforge/registry.py)
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- Adapters: equity_feed and options_feed (src/deltaforge/adapters)
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- Execution layer: ExecutionEngine (src/deltaforge/execution.py)
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- Backtester: Backtester (src/deltaforge/backtester.py)
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- Tamper-evident/logging placeholders: signature fields in PlanDelta
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- Two starter adapters for data feeds: equity_feed and options_feed
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Usage (high level)
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- Create assets and signals with the DSL
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- Compose PlanDelta with StrategyDelta entries
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- Run ADMMCoordinator.reconcile(plan) to enforce cross-venue coherence
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- Use ExecutionEngine to route actions to venues
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- Run Backtester.replay(signals, plan) to simulate PnL deterministically
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Packaging and publishing
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- This project is configured as deltaforge-skeleton in pyproject.toml
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- To publish, ensure READY_TO_PUBLISH exists (empty file is fine) and run your usual publish workflow
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- README.md is hooked into packaging via readme = "README.md" in pyproject.toml
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Roadmap (high level)
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- Expand GoC registry, versioned contracts, and interoperability with external IRs
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- Add a minimal deterministic replay harness for end-to-end testing across venues
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- Add more realistic latency-aware routing and cryptographic tags for auditability
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- Produce a comprehensive test suite ensuring deterministic outcomes
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See src/deltaforge for implementation details.
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- Core DSL: Asset, MarketSignal, StrategyDelta, PlanDelta
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- Lightweight ADMM-like coordinator: ADMMCoordinator
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- Two starter adapters: equity_feed and options_feed
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- Minimal execution adapter: ExecutionEngine
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- Toy backtester: Backtester with deterministic replay
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- Registry placeholder: GoCRegistry
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- Lightweight in-memory Graph-of-Contracts (GoC) registry for versioned adapters and replayable messages.
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- Basic primitives: GoCContract descriptor, GoCRegistry with register/get/list APIs.
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- Interoperability notes
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- The MVP includes a minimal GoC registry and contract sketch to bootstrap interoperability between venue adapters and the canonical IR.
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- This enables future mapping to LocalProblem/SharedSignals/PlanDelta with dual variables, cryptographic tags, and versioned contracts.
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- Packaging: pyproject.toml, ready for publication as deltaforge-skeleton
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Usage (high level):
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- Create assets and signals with the DSL
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- Compose PlanDelta with StrategyDelta entries
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- Run ADMMCoordinator.reconcile(plan) to enforce cross-venue coherence
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- Use ExecutionEngine to route actions to venues
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- Run Backtester.replay(signals, plan) to simulate PnL deterministically
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This is a production-oriented skeleton intended to be expanded into a full MVP.
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See src/deltaforge for implementation details.
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