3.19
Market-Making
PYTHON PLUGIN
Stocks
Market Making
Description
Strategy 3.19: Market making with inventory-aware bid/ask quoting
Strategy Logic
Strategy 3.19: Market Making.
Post bid and ask around the mid-price, profit from the bid-ask
spread. Uses inventory management to skew quotes when position
becomes unbalanced.
Requires 'bid' and 'ask' columns, or uses close +/- half-spread
as proxy. Generates BUY signals at bid, SELL signals at ask.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| half_spread_bps | 10 | int |
| inventory_limit | 1000 | int |
| skew_per_unit | 0.1 | float |
| vol_lookback | 20 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 15.0% |
| Stop Loss Pct | 2.0% |
| Take Profit Pct | 1.0% |
| Max Drawdown Pct | 5.0% |