Merge pull request #5 from copyleftdev/feature/algo-trading-strategies

feat: add example trading strategies for momentum, pairs, arbitrage, …

Author: copyleftdev

examples/fintech/arbitrage-strategy.sigmos

@@ -0,0 +1,100 @@
+spec "ArbitrageStrategy" v1.0 {
+  description: "Advanced multi-exchange arbitrage strategy with AI-powered opportunity detection and latency optimization for systematic price differential capture."
+
+  inputs:
+    strategy_id: string
+    trading_pair: string { default: "BTC/USD" }
+    exchange_1: string { default: "binance" }
+    exchange_2: string { default: "coinbase" }
+    min_profit_threshold: float { default: 0.005 }
+    
+    account_balance: float { default: 100000.0 }
+    max_position_size: float { default: 0.1 }
+    execution_speed_priority: bool { default: true }
+    slippage_tolerance: float { default: 0.001 }
+    
+    triangular_arbitrage: bool { default: false }
+    cross_exchange_arbitrage: bool { default: true }
+    statistical_arbitrage: bool { default: false }
+    funding_rate_arbitrage: bool { default: false }
+    
+    ai_models: string
+    market_data_feeds: string
+    execution_venues: string
+    
+    latency_monitoring: bool { default: true }
+    price_feed_redundancy: bool { default: true }
+    execution_timeout: int { default: 10 }
+    
+    risk_management_enabled: bool { default: true }
+    max_exposure_per_exchange: float { default: 0.5 }
+    balance_monitoring: bool { default: true }
+    profit_tracking: bool { default: true }
+
+  computed:
+    price_differential: -> calculate_price_diff()
+    profit_opportunity: -> calculate_profit()
+    execution_latency: -> measure_latency()
+    
+  events:
+    on_create(strategy): initialize_arbitrage
+    on_opportunity(price_differential): execute_arbitrage
+    on_fill(leg_1): execute_arbitrage_leg_2
+    on_complete(arbitrage): record_profit
+    on_error(execution_failure): handle_failed_arbitrage
+
+  actions:
+    initialize_arbitrage {
+      description: "Initialize arbitrage trading strategy"
+      mcp_call: "trading/arbitrage/initialize"
+      parameters: {
+        strategy_id: strategy_id,
+        trading_pair: trading_pair,
+        exchange_1: exchange_1,
+        exchange_2: exchange_2,
+        account_balance: account_balance
+      }
+    }
+
+    execute_arbitrage {
+      description: "Execute arbitrage opportunity"
+      mcp_call: "trading/arbitrage/execute"
+      parameters: {
+        trading_pair: trading_pair,
+        price_differential: price_differential,
+        profit_opportunity: profit_opportunity,
+        max_position_size: max_position_size,
+        execution_speed_priority: execution_speed_priority
+      }
+    }
+
+    execute_arbitrage_leg_2 {
+      description: "Execute second leg of arbitrage trade"
+      mcp_call: "trading/arbitrage/execute_leg_2"
+      parameters: {
+        strategy_id: strategy_id,
+        execution_timeout: execution_timeout,
+        slippage_tolerance: slippage_tolerance
+      }
+    }
+
+    record_profit {
+      description: "Record arbitrage profit and update metrics"
+      mcp_call: "trading/arbitrage/record_profit"
+      parameters: {
+        strategy_id: strategy_id,
+        profit_opportunity: profit_opportunity,
+        execution_latency: execution_latency
+      }
+    }
+
+    handle_failed_arbitrage {
+      description: "Handle failed arbitrage execution"
+      mcp_call: "trading/arbitrage/handle_failure"
+      parameters: {
+        strategy_id: strategy_id,
+        failure_reason: "execution_timeout",
+        risk_management_enabled: risk_management_enabled
+      }
+    }
+}

examples/fintech/grid-trading-strategy.sigmos

@@ -0,0 +1,101 @@
+spec "GridTradingStrategy" v1.0 {
+  description: "Advanced grid trading strategy with AI-powered volatility analysis and dynamic grid adjustment for systematic profit from market oscillations."
+
+  inputs:
+    strategy_id: string
+    trading_pair: string { default: "BTC/USD" }
+    grid_levels: int { default: 10 }
+    grid_spacing_pct: float { default: 0.02 }
+    base_order_size: float { default: 1000.0 }
+    
+    account_balance: float { default: 100000.0 }
+    total_grid_allocation: float { default: 0.5 }
+    upper_price_limit: float { default: 0.0 }
+    lower_price_limit: float { default: 0.0 }
+    
+    dynamic_grid_enabled: bool { default: true }
+    volatility_adjustment: bool { default: true }
+    trend_filter_enabled: bool { default: true }
+    volume_weighted_orders: bool { default: true }
+    
+    ai_models: string
+    market_data_feed: string
+    execution_venue: string
+    
+    stop_loss_enabled: bool { default: false }
+    take_profit_enabled: bool { default: false }
+    grid_rebalance_frequency: int { default: 24 }
+    
+    risk_management_enabled: bool { default: true }
+    max_drawdown_pct: float { default: 0.15 }
+    position_monitoring: bool { default: true }
+    profit_taking_enabled: bool { default: true }
+
+  computed:
+    current_price: -> get_current_price()
+    grid_spacing: -> calculate_grid_spacing()
+    volatility_factor: -> measure_volatility()
+    
+  events:
+    on_create(strategy): initialize_grid_trading
+    on_price_hit(grid_level): execute_grid_order
+    on_timer(grid_rebalance_frequency): rebalance_grid
+    on_change(volatility_factor): adjust_grid_spacing
+    on_error(max_drawdown): pause_grid_trading
+
+  actions:
+    initialize_grid_trading {
+      description: "Initialize grid trading strategy"
+      mcp_call: "trading/grid/initialize"
+      parameters: {
+        strategy_id: strategy_id,
+        trading_pair: trading_pair,
+        grid_levels: grid_levels,
+        grid_spacing_pct: grid_spacing_pct,
+        base_order_size: base_order_size,
+        account_balance: account_balance
+      }
+    }
+
+    execute_grid_order {
+      description: "Execute buy or sell order when price hits grid level"
+      mcp_call: "trading/grid/execute_order"
+      parameters: {
+        trading_pair: trading_pair,
+        current_price: current_price,
+        base_order_size: base_order_size,
+        volume_weighted_orders: volume_weighted_orders
+      }
+    }
+
+    rebalance_grid {
+      description: "Rebalance grid levels based on market conditions"
+      mcp_call: "trading/grid/rebalance"
+      parameters: {
+        strategy_id: strategy_id,
+        current_price: current_price,
+        grid_spacing: grid_spacing,
+        dynamic_grid_enabled: dynamic_grid_enabled
+      }
+    }
+
+    adjust_grid_spacing {
+      description: "Dynamically adjust grid spacing based on volatility"
+      mcp_call: "trading/grid/adjust_spacing"
+      parameters: {
+        volatility_factor: volatility_factor,
+        volatility_adjustment: volatility_adjustment,
+        grid_spacing_pct: grid_spacing_pct
+      }
+    }
+
+    pause_grid_trading {
+      description: "Pause grid trading due to excessive drawdown"
+      mcp_call: "trading/grid/pause"
+      parameters: {
+        strategy_id: strategy_id,
+        max_drawdown_pct: max_drawdown_pct,
+        reason: "drawdown_limit"
+      }
+    }
+}

examples/fintech/market-making-strategy.sigmos

@@ -0,0 +1,102 @@
+spec "MarketMakingStrategy" v1.0 {
+  description: "Advanced market making strategy with AI-powered spread optimization and inventory management for systematic liquidity provision and bid-ask capture."
+
+  inputs:
+    strategy_id: string
+    trading_pair: string { default: "BTC/USD" }
+    base_spread_bps: int { default: 10 }
+    order_size: float { default: 1000.0 }
+    max_inventory: float { default: 10.0 }
+    
+    account_balance: float { default: 100000.0 }
+    inventory_target: float { default: 0.0 }
+    spread_multiplier: float { default: 1.0 }
+    min_spread_bps: int { default: 5 }
+    max_spread_bps: int { default: 50 }
+    
+    dynamic_spread_enabled: bool { default: true }
+    inventory_skew_enabled: bool { default: true }
+    volatility_adjustment: bool { default: true }
+    order_refresh_enabled: bool { default: true }
+    
+    ai_models: string
+    market_data_feed: string
+    execution_venue: string
+    
+    order_refresh_interval: int { default: 5 }
+    inventory_rebalance_threshold: float { default: 0.8 }
+    adverse_selection_protection: bool { default: true }
+    
+    risk_management_enabled: bool { default: true }
+    max_position_size: float { default: 0.1 }
+    stop_loss_enabled: bool { default: true }
+    profit_target_enabled: bool { default: false }
+
+  computed:
+    current_inventory: -> calculate_inventory()
+    optimal_spread: -> calculate_optimal_spread()
+    market_volatility: -> measure_volatility()
+    
+  events:
+    on_create(strategy): initialize_market_making
+    on_fill(order): manage_inventory
+    on_timer(order_refresh_interval): refresh_quotes
+    on_change(market_volatility): adjust_spread
+    on_error(inventory_limit): rebalance_inventory
+
+  actions:
+    initialize_market_making {
+      description: "Initialize market making strategy"
+      mcp_call: "trading/market_making/initialize"
+      parameters: {
+        strategy_id: strategy_id,
+        trading_pair: trading_pair,
+        base_spread_bps: base_spread_bps,
+        order_size: order_size,
+        account_balance: account_balance
+      }
+    }
+
+    manage_inventory {
+      description: "Manage inventory after order fills"
+      mcp_call: "trading/market_making/manage_inventory"
+      parameters: {
+        current_inventory: current_inventory,
+        inventory_target: inventory_target,
+        max_inventory: max_inventory,
+        inventory_skew_enabled: inventory_skew_enabled
+      }
+    }
+
+    refresh_quotes {
+      description: "Refresh bid and ask quotes"
+      mcp_call: "trading/market_making/refresh_quotes"
+      parameters: {
+        trading_pair: trading_pair,
+        optimal_spread: optimal_spread,
+        order_size: order_size,
+        current_inventory: current_inventory
+      }
+    }
+
+    adjust_spread {
+      description: "Dynamically adjust spread based on market conditions"
+      mcp_call: "trading/market_making/adjust_spread"
+      parameters: {
+        market_volatility: market_volatility,
+        volatility_adjustment: volatility_adjustment,
+        min_spread_bps: min_spread_bps,
+        max_spread_bps: max_spread_bps
+      }
+    }
+
+    rebalance_inventory {
+      description: "Rebalance inventory when limits are breached"
+      mcp_call: "trading/market_making/rebalance"
+      parameters: {
+        strategy_id: strategy_id,
+        current_inventory: current_inventory,
+        inventory_rebalance_threshold: inventory_rebalance_threshold
+      }
+    }
+}