https://github.com/adlai/scalpl
volatility harvester prototype
https://github.com/adlai/scalpl
games-against-nature limit-order-book volatility-harvester
Last synced: 28 days ago
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volatility harvester prototype
- Host: GitHub
- URL: https://github.com/adlai/scalpl
- Owner: adlai
- Created: 2013-12-16T05:00:38.000Z (over 11 years ago)
- Default Branch: master
- Last Pushed: 2025-03-15T11:54:42.000Z (about 1 month ago)
- Last Synced: 2025-03-15T12:20:02.047Z (about 1 month ago)
- Topics: games-against-nature, limit-order-book, volatility-harvester
- Language: Common Lisp
- Homepage: http://github.com/adlai/scalpl?tab=readme-ov-file#legal-ease
- Size: 1.69 MB
- Stars: 61
- Watchers: 14
- Forks: 20
- Open Issues: 17
-
Metadata Files:
- Readme: README.md
Awesome Lists containing this project
README
```
SSSSSS==cCCCCc===aAAa======LL&=====PPPPPP===LL&====
#SS----#-#CC--CC--#AAAAa----&LL#----&PPo--PP#&LL#----
o=&SSs===#&c======#AA==Aa=-=#LLo====&PPPPPP#LLo====
--#-&SSS##&Cc-CCC#oAAaaaAA--#LLo----#PPP#==-##LLo----
#SSSSSS###=&CCCC=o=&A===&AA#oLLLLLL##PP#=o==ooLLLLLL#
#.#.#.oo.o#.#..o.##...Aoo.#o&..o#P#o.o..oo.#o&..o
o.#..o.o..o..#...`.o...##.oo.o.#..o.o..`..o.o.#..o
o..o.`o..`..`.....`..#.`o..o.o..`oo..`.....`o.o...
o..o..o..markets..o...`..`.o..o.`..lisp...`o..o
o.............mayhem..`..`............`..
```
> "scalpl is a project written by someone
> who is clearly having a great time"
> - @byrneseyeview
# Legal-_ease_
The software is provided devoid of warantee, guarranty,
liesense, and noncence: "do as thou wilt".
Please be advised that this use of the software renders varying signals to
market participants in a manner that amplifies pre-existing biases. Performing
such acts in jurisdictia where the potential consequences of such actions are
punishable is liable to offend my religion, and should be considered a capital
offense, insofar as such are punishable by and large small etc etc etc.
The concurrancy mechanisms employed by the procurrency silencer have been
empirically demonstrated to contain faults, and it is thus a great way to
have a bad time if you rely on the source code without reading it, aloud!
## PROCLAIMER REGARDING CONTINUITY
Reports of roughness and density have been greatly adjagitated; thus, if you
have suggestions for [theme](https://www.youtube.com/watch?v=NCIUf8eYPqA)
[songs](https://www.youtube.com/watch?v=6D6cw8Ob2sk), [please speak, and go
softly?](youtube.com/watch?v=rGB9T17tBHo) now your professional commendation
and you encourage me to reconsider whether music is only a part of nature;
the imposition from without of order upon chaos.
# Abstract
There *will be* an engine for expressing arbitrarily intricate policies for
financial planning, execution, and study thruwaut ; today, it *is* hardcoded
as a market maker. We also *endeavor* to provide a constructive extension of
[Kerckhoffs's Law](https://en.wikipedia.org/wiki/Kerckhoffs%27s_principle)
to game theory, although it may require [un?]countably infinitely many steps.
# Exchanges
Several exchanges were supported: [Bitfinex](https://www.bitfinex.com),
[BTC-e](https://www.btc-e.com), and [Kraken](https://www.kraken.com). ScalpL
also supported [MPExAgent](https://github.com/jurov/MPExAgent), and if your
hand still plays [such](http://trilema.com/2016/mpex-smpoe-closing-statement/)
[tab](http://mpex.xyz/faq.html#17)[les](http://mpex.xyz/faq.html#33), there is
no conceivably indubitable reason for such bits to have rot; fresh additions
are clients for the [Baloney Exchange](https://www.poloniex.com), and
hazardous support for casinos such as [bitmexicom](https://bitmex.com/), and
someday, maybe, also, ones that do not require selfies, residences, etc.
# Requirements
The following Common Lisp compilers are tested regularly:
* [SBCL](http://www.sbcl.org)
* [Clozure CL](http://ccl.clozure.com)
The following almost suffice, although not quite:
* [Embeddable Common Lisp](https://common-lisp.net/project/ecl/)
Please let me know if you use this program with other compilers.
# Excuses and Explanations
* Kevin Simler's
[thoughts on wealth](http://www.meltingasphalt.com/wealth-the-toxic-byproduct/),
specifically parts II-IV (the "Congolese Trading Window"), outline the
ideological basis;
* Christ Stucchio's
[HFT Apology](http://www.chrisstucchio.com/blog/2012/hft_apology.html) outlines
the mechanics of automated market making (ie, real world Congolese Window
Trading);
* Peter Seibel's
[introduction](http://www.gigamonkeys.com/book/introduction-why-lisp.html) to
the excellent [_Practical Common Lisp_](http://www.gigamonkeys.com/book/) lays
out the factors behind the unconventional
[yet unavoidable](http://notes.esthlos.com/files/2017-11-16-lisp-enlightenment.txt)
language choice; the book itself lights the larval lisper's quest; and
* Timothy B Lee's [cards](http://www.vox.com/cards/bitcoin/what-is-bitcoin)
summarize the Bitcoin phenomenon for the unfamiliar, purely as enrichment;
though catalyzed by cryptocurrency, ScalpL itself is agn-_asset_-ic.
# Current Status
This program is a work in progress, built by a "Lone Wolf" madman. You should
thus expect rudeness and flippancy, unless you pay for a consultation.
## Nature of the Beast
* Please be a where of false friends, read ear rings, and closed enemies.
* Harvesting progresses best when the market moves harmoniously with the
configured parameters: for example, the most profitable targeting for a market
which trends sideways will be equal allocation.
* Allocation too far in the "wrong" direction other results in the harvester
accumulating the asset unloaded by other market participants, eventually getting
"run over": the portfolio is sufficiently imbalanced to prevent further market
making. One can either wait for the trend to reverse, or rebalance at a loss.
* Poorly calibrated resilience also weakens returns: if the resilience is too
high compared to current market activity, execution volume suffers; too low, and
the increased volume is _only_ beneficial when the market moves match the
targeting feedback cycle (mismatch accelerates the "running-over").
* The specific version of Murphy's Law applicable here is that if you ever look
back at the screen after your account was profitable, you will find that it has
managed to enter a losing position while your attention was elsewhere.
## Past Performance
* Although it's more indicative of others' past shame, than anybody's future luck,
there were a dozenscore happy days aiming at an APR north of a lucky number seven.
* There is no cause for suspicion of bucket shop shenanigans below sustained alpha
extrapolating to quarterly doublings. Although _daily_ alpha can easily cross this
level due to the misfortunes of others, a weekly sustain has yet to be witnessed.
## Future Returns
```LISP
(with-slots (SYMBOL) (NAME MARKET)
(push (cons-aq* (primary market) 1/538) reserved))))
(0.00185874 USDT 0.00000538 USDT)
```
... oh, you're still paying attention to my project? that is not logical!
```elisp
(apropos "https://archive.is/MZiU2")
```