Class AutoHedger

java.lang.Object
com.quantfinlib.trading.AutoHedger
All Implemented Interfaces:
TickListener
public final class AutoHedger extends Object implements TickListener
Live position-band auto-hedger on the fast lane — the streaming counterpart to the batch hedging.DeltaHedger: while the batch hedger rebalances on a schedule against a model delta, this one watches the risk gate's live position on every tick and fires a flattening order through the HftOrderGateway the moment the band is breached. 
   |position| > positionBand  →  submit opposite-side order for the excess
                                  over the band (hedge back TO the band)

Hedging to the band edge rather than to flat is deliberate: it removes the limit breach with the smallest order, avoids ping-ponging around zero, and matches how dealer books actually run inventory. A cooldown (minHedgeIntervalNanos) stops the hedger from stacking orders while the first hedge's fill is still in flight — positions only update when fills confirm via HftRiskGate.onFill(int, com.quantfinlib.orderbook.Side, long).

Register as a TickListener on the bus (consumer thread), after the strategy/quoter listeners so it sees the same tick they acted on. Zero allocation per tick. For options books, drive the position input from pricing.IncrementalGreeks delta instead of raw inventory — the band logic is identical.

  • Constructor Summary

    Constructors
    Constructor
    Description
    AutoHedger(HftOrderGateway gateway, int maxSymbols, long positionBand, long minHedgeIntervalNanos)
     

  • Method Summary

    Modifier and Type
    Method
    Description
    long
    hedgesRejected()
    Hedge attempts refused (risk gate or full ring) — monitor this.
    long
    hedgesSubmitted()
    Hedge orders accepted onto the wire.
    void
    onTick(int symbolId, double price, double size, long timestampNanos)
    The hot path: band check per tick; an order only on breach.

    Methods inherited from class java.lang.Object

    clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • AutoHedger

      public AutoHedger(HftOrderGateway gateway, int maxSymbols, long positionBand, long minHedgeIntervalNanos)
      Parameters:
      positionBand - absolute position tolerated without hedging (> 0)
      minHedgeIntervalNanos - cooldown between hedges per symbol (>= 0)

  • Method Details

    • onTick

      public void onTick(int symbolId, double price, double size, long timestampNanos)
      The hot path: band check per tick; an order only on breach.
      Specified by:
      onTick in interface TickListener

    • hedgesSubmitted

      public long hedgesSubmitted()
      Hedge orders accepted onto the wire.

    • hedgesRejected

      public long hedgesRejected()
      Hedge attempts refused (risk gate or full ring) — monitor this.