marketmaker.bf

Avellaneda-Stoikov inventory skew and optimal quote generation implemented in 8 instructions.
Zero dependencies. O(pain) complexity.

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Overview

marketmaker.bf is a production-grade algorithmic market making engine written in Brainfuck. It implements a simplified Avellaneda-Stoikov framework with inventory-aware quote skewing, asymmetric spread construction, and tick-driven order emission — using an instruction set of exactly 8 symbols.

Designed as core emerging market making stack.

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Memory Architecture

The system operates on a 6-cell memory map. Each cell encodes a distinct layer of market making state:

Cell	Symbol	Role
C0	Market Feed	Raw price input from exchange feed (stdin)
C1	Inventory	Current inventory position
C2	Target Inventory	Pivot / desired inventory level
C3	Bid Price	Calculated bid quote
C4	Ask Price	Calculated ask quote
C5	Skew / Temp	Inventory skew signal and scratch register

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Instruction Set

Opcode	Role in System
> <	Cell pointer traversal — layer navigation
+	Increment — inventory build, price construction
-	Decrement — bid/ask adjustment, skew application
,	Input — blocking market data ingestion
.	Output — order emission to execution gateway
[ ]	Loop — conditional execution, main trading loop

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Trading Logic

Execution proceeds in five deterministic phases per tick:

Phase 1 — Market Data Sync

< ,

Blocking read into C0. The system is entirely tick-driven — no polling, no busy-waiting.

Phase 2 — Inventory Delta Calculation

C1 (current inventory) is copied to C2 and C3 via destructive move with dual-copy pattern. Delta against target inventory (C2) is computed and stored in C5 as the skew signal.

Phase 3 — Spread Construction

Mid price is triple-copied from C0. Quotes are constructed asymmetrically:

• Bid = Mid − 1
• Ask = Mid + 3

The wider ask reflects the default long-skew assumption at initialization (5 units inventory).

Phase 4 — Inventory Skew Execution

If C5 (skew register) is non-zero, the ask price is decremented to offload excess inventory aggressively. Skew register is zeroed after application — single-tick skew, no persistence.

Phase 5 — Order Emission + Heartbeat

>> .
++++++++++ .

Execution byte output to gateway. Heartbeat newline emitted via 10-increment + .. Feed buffer cleared for next packet.

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Initialization

> +++++     ( C1: start inventory = 5 units )
> +++++     ( C2: target inventory = 5 units )

The system initializes at inventory parity. Any deviation from target triggers the skew engine.

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Quickstart

# requires any standard Brainfuck interpreter
bf marketmaker.bf

# pipe live market feed via stdin
nc exchange-feed 9000 | bf marketmaker.bf

# or simulate with a price stream
echo -e "\x32\x33\x31\x34" | bf marketmaker.bf

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Performance Targets

Metric	Phase 1	Phase 2
Sharpe Ratio	> 2.5	> 3.0
Initial Inventory	5 units	configurable
Instruction Count	8	8
External Dependencies	0	0

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Known Limitations

Risk Disclosure — read before connecting to live feed.

• No sequence ID validation or order book checksum
• No latency anomaly detection or timestamp alignment
• No kill switch — runaway loops are a known operational risk
• Post-Only flag not implementable without hardware modification
• Adverse selection modeled implicitly as cell overflow behavior
• Self-trade prevention deferred to interpreter-level sandboxing
• Walk-forward validation requires pointer arithmetic beyond 8-bit cell width (Phase 2)
• No PnL decomposition (spread capture / inventory PnL / adverse selection cost) — all losses attributed to pointer misalignment

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Roadmap

• 16-bit cell width support (extends addressable inventory range)
• Poisson order arrival simulator (BF-native)
• Funding rate integration via second stdin pipe
• Kill switch via SIGINT handler at interpreter level
• Compliance module

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Architecture Notes

This system adheres to a strict separation of concerns across five logical layers:

┌─────────────────────────────────┐
│  Market Data Layer   ( C0 , )   │
├─────────────────────────────────┤
│  State Engine        ( C1-C2 )  │
├─────────────────────────────────┤
│  Strategy Layer      ( C3-C5 )  │
├─────────────────────────────────┤
│  Execution Engine    ( . )      │
├─────────────────────────────────┤
│  Risk Engine         ( [ - ] )  │
└─────────────────────────────────┘

The risk engine is implemented as a loop-reset pattern: [ - ] zeroes the skew register, preventing unbounded skew accumulation. It is independent of the quote generation logic.

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License

WTFPL — Do What The Fuck You Want To Public License