feat(strategy): add VWAP strategy

2 files changed, 85 insertions, 0 deletions

diff --git a/services/strategy-engine/strategies/config/vwap_strategy.yaml b/services/strategy-engine/strategies/config/vwap_strategy.yaml
new file mode 100644
index 0000000..e12d5e7
--- /dev/null
+++ b/services/strategy-engine/strategies/config/vwap_strategy.yaml
@@ -0,0 +1,2 @@
+deviation_threshold: 0.002
+quantity: "0.01"
diff --git a/services/strategy-engine/strategies/vwap_strategy.py b/services/strategy-engine/strategies/vwap_strategy.py
new file mode 100644
index 0000000..d1b86b5
--- /dev/null
+++ b/services/strategy-engine/strategies/vwap_strategy.py
@@ -0,0 +1,83 @@
+from decimal import Decimal
+
+from shared.models import Candle, Signal, OrderSide
+from strategies.base import BaseStrategy
+
+
+class VwapStrategy(BaseStrategy):
+    name: str = "vwap"
+
+    def __init__(self) -> None:
+        self._deviation_threshold: float = 0.002
+        self._quantity: Decimal = Decimal("0.01")
+        self._cumulative_tp_vol: float = 0.0
+        self._cumulative_vol: float = 0.0
+        self._candle_count: int = 0
+        self._was_below_vwap: bool = False
+        self._was_above_vwap: bool = False
+
+    @property
+    def warmup_period(self) -> int:
+        return 30
+
+    def configure(self, params: dict) -> None:
+        self._deviation_threshold = float(params.get("deviation_threshold", 0.002))
+        self._quantity = Decimal(str(params.get("quantity", "0.01")))
+
+    def reset(self) -> None:
+        self._cumulative_tp_vol = 0.0
+        self._cumulative_vol = 0.0
+        self._candle_count = 0
+        self._was_below_vwap = False
+        self._was_above_vwap = False
+
+    def on_candle(self, candle: Candle) -> Signal | None:
+        high = float(candle.high)
+        low = float(candle.low)
+        close = float(candle.close)
+        volume = float(candle.volume)
+
+        typical_price = (high + low + close) / 3.0
+        self._cumulative_tp_vol += typical_price * volume
+        self._cumulative_vol += volume
+        self._candle_count += 1
+
+        if self._candle_count < self.warmup_period:
+            return None
+
+        if self._cumulative_vol == 0.0:
+            return None
+
+        vwap = self._cumulative_tp_vol / self._cumulative_vol
+        deviation = (close - vwap) / vwap
+
+        if deviation < -self._deviation_threshold:
+            self._was_below_vwap = True
+        if deviation > self._deviation_threshold:
+            self._was_above_vwap = True
+
+        # Mean reversion from below: was below VWAP, now back near it
+        if self._was_below_vwap and abs(deviation) <= self._deviation_threshold:
+            self._was_below_vwap = False
+            return Signal(
+                strategy=self.name,
+                symbol=candle.symbol,
+                side=OrderSide.BUY,
+                price=candle.close,
+                quantity=self._quantity,
+                reason=f"VWAP mean reversion BUY: deviation {deviation:.4f} within threshold {self._deviation_threshold}",
+            )
+
+        # Mean reversion from above: was above VWAP, now back near it
+        if self._was_above_vwap and abs(deviation) <= self._deviation_threshold:
+            self._was_above_vwap = False
+            return Signal(
+                strategy=self.name,
+                symbol=candle.symbol,
+                side=OrderSide.SELL,
+                price=candle.close,
+                quantity=self._quantity,
+                reason=f"VWAP mean reversion SELL: deviation {deviation:.4f} within threshold {self._deviation_threshold}",
+            )
+
+        return None