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Changelog

All notable changes to gap-mm are documented here.

[0.1.0] — 2026-04-20

Initial public release.

Added

  • TradingNode (Rust/PyO3): Bybit public WebSocket streaming for spot and linear perp markets, L2 order book via OrderBook-rs, gap-probability calculation.
  • ExecutionNode (Rust/PyO3): Bybit REST v5 OMS with dual-state order tracking, amend-preferred reconciliation, private WebSocket fill listener, position tracking with realized P&L.
  • gap_mm.engine (Python/Numba): JIT-compiled encode_signal, calculate_quotes_fast, calculate_pnl_fast, check_signal_correct.
  • gap_mm.live.LiveTradingEngine: full market-making bot combining both engines.
  • python -m gap_mm CLI entrypoint.
  • examples/minimal_stream.py: safe streaming demo (no orders).
  • Unit tests: encode_signal, calculate_quotes_fast, calculate_pnl_fast, check_signal_correct.
  • Integration tests: reconcile with mocked Bybit REST, gap-signal pipeline.
  • Rust tests: calculate_gap_probability with synthetic order books, tick-size parametrization.
  • GitHub Actions CI: Python 3.12/3.13, ubuntu/macos/windows, pytest + cargo test + ruff + clippy.

Fixed

  • gap_prob_resistance_up (formerly gap_prob_up): renamed to accurately reflect contrarian semantics — high value means resistance above, not probability of upward move.
  • Tick size in calculate_gap_probability is now parametric (tick_size field on OrderBookState, threaded through start_stream). Previously hardcoded to 0.10, breaking non-BTC symbols.
  • Removed misleading comment in encode_signal that contradicted the implemented contrarian mapping.
  • Removed stale copy-paste print("✓ Engines initialized") inside on_fill callback.