Struct KellyStrategy 

pub struct KellyStrategy {
    pub params: KellyParameters,
    /* private fields */
}

Kelly criterion market-making strategy (CARA-based approximation).

Approximation, not a rigorous solution. This strategy uses the CARA (exponential) utility ansatz from the Avellaneda-Stoikov model and shifts the reservation price toward the Kelly target inventory q* = mu/(gamma*sigma^2). It does not solve the true log-utility HJB. The Kelly target matches the CARA-optimal position to first order, but the spread dynamics and value-function curvature are CARA, not log-utility.

A rigorous Kelly HJB solver (log-utility without the CARA separation) is planned for a future phase. See reference/optimal_criteria.md.

Fields

params: KellyParameters

Implementations

impl KellyStrategy

pub fn new(params: KellyParameters) -> Self

pub fn with_window_size(self, window_size: usize) -> Self

Trait Implementations

impl Strategy for KellyStrategy

fn on_tick(&mut self, obs: &Observation, requests: &mut Vec<OrderRequest>)

Called each tick with the agent’s filtered observation. Appends order requests (New, Cancel, CancelAll) to the provided buffer.

fn as_any(&self) -> &dyn Any

Downcast helper — returns self as &dyn Any.

fn as_any_mut(&mut self) -> &mut dyn Any

Downcast helper — returns self as &mut dyn Any.