37 lines
1.1 KiB
Python
37 lines
1.1 KiB
Python
from __future__ import annotations
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from dataclasses import dataclass
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from typing import List
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from .dsl import RiskState, HedgePlanDelta, Asset
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@dataclass
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class Budget:
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risk_limit: float
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liquidity_limit: float
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latency_limit_ms: int
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class HedgeSynthesisEngine:
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"""A tiny, deterministic hedge synthesizer (MVP).
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It currently performs a trivial synthesis: allocate zero hedges for all
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venues and return the first asset as the primary hedge target. This is a
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placeholder that satisfies the public API used by tests and provides a
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clean surface for extension with real ML-based logic.
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"""
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def __init__(self, budget: Budget):
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self.budget = budget
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def synthesize(self, risk_states: List[RiskState], venues: List[str]) -> HedgePlanDelta:
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if not risk_states:
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return HedgePlanDelta(assets=[], hedges={}, author="engine")
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asset = risk_states[0].asset
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hedges = {venue: 0.0 for venue in venues}
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return HedgePlanDelta(assets=[asset], hedges=hedges, author="engine")
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__all__ = ["Budget", "HedgeSynthesisEngine"]
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