Exposure Protector

Defensive rebalancer that trims skew and protects exposure.

Best Used When

one side of the book dominates the account
Hermes wants to reduce imbalance
the market is still tradable, but caution is needed
controlled rebalancing is more important than new alpha

Avoid When

the market is thin or chaotic
the venue is unstable
Hermes wants a pure entry strategy
frequent churn would be too expensive

How It Works

The strategy watches wallet drift and chooses the side needed to move the wallet back toward the target ratio.
rebalance_target_ratio is a value-share target for base, not a price target.
rebalance_step_ratio controls how far the strategy moves per action, but the actual side choice also depends on the current drift and hysteresis.
min_rebalance_seconds blocks repeat actions for a minimum wall-clock period.
min_price_move_pct blocks a new order if price has not moved enough since the last one.
trail_distance_pct sets the limit order distance from the current price once a side has been chosen.
report() and render() show the live drift, anchor, and cooldown state.

Parameters

trail_distance_pct: Distance from the current price for the rebalance limit order.
rebalance_target_ratio: Target base value share between 0.0 and 1.0. 0.5 means balanced by value.
rebalance_step_ratio: Fractional move size per action. Larger values rebalance faster but can churn more.
min_order_notional_quote: Minimum quote notional for one action.
max_order_notional_quote: Optional hard cap on quote notional for one action.
order_spacing_ticks: Declared in the schema, but currently not referenced by the execution path.
cooldown_ticks: Tick-based pause after a successful order.
min_rebalance_seconds: Wall-clock cooldown between rebalance actions.
min_price_move_pct: Minimum price movement required before the strategy will place another order.
balance_tolerance: Allowed deviation from the target before the strategy considers the wallet meaningfully out of balance.
debug_orders: Enables order-placement debug logging.

Hermes Policy Mapping

risk_posture controls caution vs aggression.
priority controls urgency and cadence.
In current code, apply_policy() rewrites trail_distance_pct, rebalance_step_ratio, min_rebalance_seconds, and min_price_move_pct.

Notes

This strategy is passive until Hermes enables it.
It should protect and rebalance, not decide regime.
Trader derives concrete execution values from policy.
report().supervision should be interpreted as a defensive attachment signal, not as a preferred replacement for a healthy grid during persistent trend continuation unless imbalance is genuinely severe.
live fee rates are used directly, and quote notional is the canonical sizing unit.
rebalance sizing now uses the shared strategy sizing helper so fee-aware quote bounds behave consistently with the other strategies.

Useful Example

{
  "trail_distance_pct": 0.025,
  "rebalance_target_ratio": 0.55,
  "rebalance_step_ratio": 0.2,
  "min_order_notional_quote": 15,
  "max_order_notional_quote": 60,
  "order_spacing_ticks": 1,
  "cooldown_ticks": 2,
  "min_rebalance_seconds": 120,
  "min_price_move_pct": 0.004,
  "balance_tolerance": 0.04,
  "debug_orders": false
}

This is a conservative rebalancer that moves in smaller chunks, waits between actions, and only reacts when price has moved enough to justify another trim.

exposure_protector.md 3.5 KB Riwayat Mentahan