Struct KellyParameters

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pub struct KellyParameters {
    pub gamma: f64,
    pub k: f64,
    pub a: f64,
    pub t_horizon: f64,
    pub base_half_spread: f64,
    pub max_position: f64,
    pub min_sigma: f64,
}

Expand description

Parameters for the Kelly criterion optimal strategy.

The strategy targets a growth-optimal (Kelly) inventory position by biasing quotes toward accumulating q* = mu / (gamma * sigma^2).

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§gamma: f64

Risk aversion parameter. Maps CARA to Kelly: gamma = 1 / q*_scale.

§k: f64

Order book liquidity decay parameter.

§a: f64

Base fill rate.

§t_horizon: f64

Trading horizon in seconds.

§base_half_spread: f64

Base half-spread to use when q = q* and time_remaining = 0. Overrides the AS formula and allows tuning to the data source spread.

§max_position: f64

Maximum absolute target inventory (clamp). Prevents extreme positions when drift estimates are noisy.

§min_sigma: f64

Minimum estimate standard deviation to avoid division by zero.

Trait Implementations§

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impl Clone for KellyParameters

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fn clone(&self) -> KellyParameters

Returns a duplicate of the value. Read more

1.0.0 (const: unstable) · Source§

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more

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impl Debug for KellyParameters

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more

Auto Trait Implementations§

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impl UnwindSafe for KellyParameters

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impl<T> Allocation for T
where T: RefUnwindSafe + Send + Sync,

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impl<T> Any for T
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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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impl<T> Borrow<T> for T
where T: ?Sized,

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fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

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impl<T> BorrowMut<T> for T
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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

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impl<ST, DT> CastableFrom<ST, Initialized, Initialized> for DT
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impl<ST, DT> CastableFrom<ST, Uninit, Uninit> for DT
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impl<T> CloneToUninit for T
where T: Clone,

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unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)

Performs copy-assignment from self to dest. Read more

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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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impl<T, U> Into for T
where U: From<T>,

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fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

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impl<T> IntoEither for T

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fn into_either(self, into_left: bool) -> Either<Self, Self> ⓘ

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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fn into_either_with<F>(self, into_left: F) -> Either<Self, Self> ⓘ
where F: FnOnce(&Self) -> bool,

Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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