market-maker-rs 0.2.0

A Rust library implementing quantitative market making strategies, starting with the Avellaneda-Stoikov model
Documentation 
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//! Strategy module containing pure mathematical calculations for market making.
//!
//! This module implements various market making strategies:
//! - Avellaneda-Stoikov model using stochastic control theory
//! - Guéant-Lehalle-Fernandez-Tapia (GLFT) model extension
//! - Grid trading for ranging markets
//! - Depth-based offering
//! - Adaptive spread based on order book imbalance
//!
//! # Key Formulas (Avellaneda-Stoikov)
//!
//! ## Reservation Price
//! ```text
//! r = s - q * γ * σ² * (T - t)
//! ```
//!
//! ## Optimal Spread
//! ```text
//! spread = γ * σ² * (T - t) + (2/γ) * ln(1 + γ/k)
//! ```
//!
//! ## Optimal Quotes
//! ```text
//! bid = reservation_price - spread/2
//! ask = reservation_price + spread/2
//! ```

/// Core Avellaneda-Stoikov model calculations.
pub mod avellaneda_stoikov;

/// Quote generation logic.
pub mod quote;

/// Strategy configuration.
pub mod config;
pub mod interface;

/// Depth-based offering strategy.
pub mod depth_based;

/// Grid trading strategy.
pub mod grid;

/// Adaptive spread based on order book imbalance.
pub mod adaptive_spread;

/// Guéant-Lehalle-Fernandez-Tapia (GLFT) model extension.
pub mod glft;

/// Parameter calibration tools for strategy optimization.
pub mod calibration;