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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.
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| 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 |
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