Gamma flip fade

// Purpose: a strategy that reads the dealers' gamma. Under the gamma flip the dealers hedge with the move and it runs; over it they hedge against
// it and it is pinned. The strategy sells a rally into the call wall when price is over the flip, and buys a dip into the put wall; it leaves at the flip.
// The levels come from the options listed on the asset, as the gamma ladder draws them (`days` 7: only the expiries within a week). A backtest is
// given the readings of the options chain from the data engine's history of them, a live run reads the chain itself: the same events, the same levels.
//
// HONEST NOTE: written to the specification and checked that it compiles and hands over a strategy; its edge has not been measured. Dealer
// positioning (long calls, short puts) is an assumption, not a reading, and a level moves in steps (the chain is read every five minutes).
// Category: host
// Permissions: orders.submit
// Preconditions: BTC options listed (the data engine's capture reads the chain); a market on a BTC perpetual.
// Side effects: asks the terminal to run the strategy on that market; once running it places orders on the account the person chose.
// Run: Add script on the title bar's script icon; or backtest it from a program with backtest.run (at most ten days at a time).

lang ">=0.2.0, <0.3.0";
host "ttt" ">=0.1.15, <0.2.0";
requires "features" ">=0.1.8, <0.2.0";
requires "trade" ">=0.1.0, <0.2.0";

strategy gamma_flip_fade(size: Quantity) version "1.0.0" {
    let px = features.price(features.Source.AggTrades);
    let flip = features.gamma_flip(7);
    let call_wall = features.gamma_call_wall(7);
    let put_wall = features.gamma_put_wall(7);
    rule fade_the_rally when exposure_is(Exposure.Flat) && px > flip && px > call_wall * 0.998
        => order(Side.Sell, Intent.Open, OrderType.Market, Sizing.Fixed(size), Protect.Bracket(flip, call_wall * 1.004));
    rule buy_the_dip when exposure_is(Exposure.Flat) && px > flip && px < put_wall * 1.002
        => order(Side.Buy, Intent.Open, OrderType.Market, Sizing.Fixed(size), Protect.Bracket(call_wall, put_wall * 0.996));
    flatten_on_stop;
}

fn main() -> Result<Unit, Error> {
    let run = trade.run(gamma_flip_fade(qty(0.01)))?;
    print(run.name + " on " + run.target + ": " + run.state);
    return Ok(());
}