The main file is "e.ml" (ocaml) and contains various functions to "integrate" a Kandle or Uniswapv3 strategy against a price series (we think of it as a stochastic integral)
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generators of price series (from data, from BM, from GBM)
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filters of price series
vf = viscous filter
given a (time,price) series vf generates a new (time, price) series which is the "eta-viscous" filter of the input
eta is the viscosity (or fee)
the higher eta, the more the output series lags behind the driver series
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Square root variation of prices series
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Capital allocation function (to determine the initial partitioning of wealth in quote/base)
- Kandel simulator with main function "sim"
let sim
~tightness:width ~price_increment:gridstep ~cash:qB
(* when we enter game and how long we play *)
(* NB: duration could be a stopping time in general, eg looking at a price-crossing event *)
~start:start ~duration:duration
(* the future *)
~price_series:price_series
= ...
sim takes as input:
- strat parameters = price grid and cash
- price series (delimited by start and duration) outputs the return (the stochastic integral of strat against price) and number of up- and down-crossings