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Documents auto_derive.rs first-principles parameter derivation from capital and exchange metadata. Use when onboarding new assets, debugging parameter mismatches, understanding why gamma/max_position/target_liquidity have their values, or adding new derived parameters.
Codex 또는 Claude로 설치 이 Prompt를 복사해 Codex, Claude 또는 다른 어시스턴트에 붙여 넣으면 Skill 페이지를 검토하고 설치를 진행할 수 있습니다.
SOC 직업 분류 기준
State persistence, prior transfer, and warmup lifecycle. Read when working on checkpoint/, adding new checkpoint fields, debugging cold starts or stale priors, or understanding serde(default) requirements and backward compatibility rules.
WebSocket management, event loop, rate limiting, reconnection, recovery, metrics, and order execution infrastructure. Use when working on orchestrator/, infra/, messages/, core/, fills/, or execution/ modules, debugging connectivity or order placement, adding message handlers, or investigating stale data and latency issues.
Documents the 9 learning feedback loops, SpreadBandit Thompson Sampling, adaptive ensemble, confidence tracking, and baseline tracker. Use when debugging learning behavior, tuning reward attribution, investigating model weight decay, or understanding how fills translate into parameter updates.
Layered risk system with monitors, circuit breakers, kill switch, and position guards. Use when working on risk/, safety/, or monitoring/ modules, debugging position limits, emergency shutdowns, spread widening, or adding new risk monitors. Covers RiskMonitor trait, severity escalation, and defense-first architecture.
Documents the additive spread composition pipeline from GLFT optimal through to final bid/ask prices. Use when debugging wide spreads, investigating spread component contributions, tuning defensive behavior, or understanding why quotes are wider than expected. Critical for incident triage.
Layer 3 optimal sequential decision-making with Bayesian belief tracking, HJB value functions, and changepoint detection. Use when working on control/, stochastic/, or process_models/ modules, debugging quote/wait/pull decisions, modifying the HJB solver, or adding action types. Covers conjugate updates, BOCD, and value of information.
| name | config-derivation |
| description | Documents auto_derive.rs first-principles parameter derivation from capital and exchange metadata. Use when onboarding new assets, debugging parameter mismatches, understanding why gamma/max_position/target_liquidity have their values, or adding new derived parameters. |
| requires | ["measurement-infrastructure"] |
| user-invocable | false |
All trading parameters can be auto-derived from a single input (capital_usd) plus exchange context (mark price, margin, leverage, fees). This eliminates arbitrary config numbers and ensures parameters are always self-consistent.
One sizing input: capital_usd is the ONLY human-specified parameter. Everything else derives from it plus exchange metadata.
auto_derive(capital_usd, spread_profile, ctx) -> DerivedParams
| Parameter | Type | Description |
|---|---|---|
capital_usd | f64 | Capital to deploy (the ONE sizing input) |
spread_profile | SpreadProfile | Market type: Default, Hip3, Aggressive |
ctx | ExchangeContext | mark_px, account_value, available_margin, max_leverage, fee_bps, sz_decimals, min_notional |
| Field | Description | Derivation |
|---|---|---|
max_position | Maximum position in contracts | capital_usd * safety_factor * max_leverage / mark_px |
target_liquidity | Liquidity per side in contracts | Fraction of max_position |
risk_aversion | Gamma for GLFT formula | Derived from spread profile + capital tier |
max_bps_diff | Requote threshold (bps) | Profile-dependent |
viable | Whether trading is possible | max_position >= min_order_size |
capital_profile | Tier + ladder depth info | From position limits + exchange minimums |
| Tier | Viable Levels/Side | Behavior |
|---|---|---|
| Micro | 1-2 | Minimum ladder, widest spreads |
| Small | 3-5 | Reduced ladder, wider spreads compensate |
| Medium | 6-15 | Standard operation |
| Large | 16+ | Full ladder capacity |
min_notional * 1.15 / mark_px — the minimum that produces a valid exchange ordercapital_limited_levels in generate_ladder() naturally constrainsDefined in config/spread_profile.rs:
auto_derive() produces all parameters from capital + exchange contextExchangeContext inputs| File | Purpose |
|---|---|
config/auto_derive.rs | auto_derive() function, DerivedParams, CapitalProfile, ExchangeContext |
config/spread_profile.rs | SpreadProfile enum and profile-specific parameters |
config/capacity.rs | CapacityConfig for ladder depth constraints |
config/core.rs | Top-level config that calls auto_derive() |
orchestrator/quote_engine.rs | Consumes DerivedParams for quote generation |