-- Spread (Avellaneda-Stoikov) --
σ = max(vol_5m, vol_1m, γ·vol_1h) = —
σ/s = (σ / √31557600) · mid = —
γ_eff = γ × (1 + m × rvol_5s(—)) = —
spread = 2 · γ_eff · σ/s · √T = —
floor = 2 · (ASbps + feebps) = —
-- Inventory --
q = pos_usd / max_inv = —
entry side × (1 + κ · q²) = — — exit side unchanged
skew = q · ½spread · γ = —
-- Directional Signal --
dir = wα·α + wf·flow + wb2·binOB2 + wb5·binOB5 + wb10·binOB10 + wl5·hlOB5 = —
α=— flow=— bOB2=— bOB5=— bOB10=— hlOB5=—
-- Final Quotes --
mid = — (source: gossip(s4) / block(s3) / binance-basis)
-- Microprice Shift --
µprice variant = — (off)
selected µprice = —
microprice_offset = (µprice − binance_mid) / binance_mid · 10000 = — bps
micro_shift = αmicro (—) · offset = — bps
-- Trade-Flow Shift (lead-lag) --
flow variant = — · vol denom = —
trade_flow_z = — · vol = — = — bps
flow_shift = αflow (—) · signal = — bps
-- Total Shift --
total shift = micro_shift + flow_shift = — bps
fair_value = mid · (1 + total_shift/10000) = — · — = —
fair_value − model mid = — (— bps)
reservation = fair_value − inv_skew = —
bid_half = ½spread = — (symmetric — direction now flows in via fair_value shift)
× inv_widen (—) = — [entry only]
= max(bid_half, floor) = —
bid = reservation − bid_half = —
ask_half = ½spread = —
× inv_widen (—) = — [entry only]
= max(ask_half, floor) = —
ask = reservation + ask_half = —
—
mode = — (tox — vs threshold —)
-- Taker SL --
SL: OFF | loss > — bps & |bob2| opposes > —