Strategy: Noddy Floater

Structure

Cosine’s NoddyFloaterStrategy strategy provides a simple limited-functionality example use-case for how to structure and write your own custom strategies in the cosine algo framework. See the Strategies section for more details in general around strategies, how they work, how they’re shaped and how then can be developed and integrated.

You can also checkout the example algo project here to see how to configure and run the NoddyFloaterStrategy.

Core Logic

Noddy floater’s core logic is fairly simple and follows the following algorithmic flow on every price tick:

• Retrieve the set of orderworkers for the target venue (BEM)
• Extract the set of instruments associated with each order worker
• Capture the set of cached pricing snapshots for each instrument
• Run the pricer pipeline across all pricing snapshots (to embellish them)
• Generate a set of quotes from the final pricing data
• Push the quotes to the orderworkers to update all order quotes on the markets

Quoting is basically constructed as a butterfly spread around the mid-price for each market, roughly 20% (configurable) away from the mid-price on either side. Quotes are configured to linearly scale up to a maximum spread price with some marginal stochastic variance on each price step. Volume is similarly calculated out based on a linear interpolation between minimum & maximum quote sizes per price level.

This is a very simple implementation that does nothing fancy but proves the basic building blocks for developers to build more sophisticated trading strategies on the cosine framework.