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LP-008: Multi-Asset Trading Types
Abstract
This specification defines the unified type system used across all Lux trading modules. A single set of Go types in broker/pkg/types and TypeScript types in exchange/pkgs/options/src/types.ts ensures consistent representation of instruments across equities, options, futures, FX, and fixed income.
Instrument Classes
| Class | Module | Provider(s) |
|-------|--------|-------------|
| Equity | broker | Alpaca, IBKR, Apex |
| Option | broker | Alpaca, IBKR, Apex (4-leg max) |
| Future | futures | Apex Futures, IBKR |
| FX Pair | forex | CurrencyCloud, LMAX, Circle, OpenPayd |
| Bond | broker | IBKR |
| Digital Asset | exchange | On-chain (AMM/CLOB) |
Options
Strategy Templates (13 built-in)
| Strategy | Legs | Description |
|----------|------|-------------|
| Long Call / Long Put | 1 | Directional |
| Covered Call / Protective Put | 2 | Hedged |
| Bull Call Spread / Bear Put Spread | 2 | Vertical |
| Straddle / Strangle | 2 | Volatility |
| Iron Condor | 4 | Range-bound |
| Iron Butterfly | 4 | Pinning |
| Calendar Spread | 2 | Time decay (per-leg expiration) |
| Diagonal Spread | 2 | Combined |
| Collar | 3 | Protection |
Approval Levels
| Level | Allowed Strategies |
|-------|-------------------|
| 1 | Covered calls, cash-secured puts |
| 2 | Level 1 + long calls/puts, debit spreads |
| 3 | Level 2 + credit spreads, iron condors |
| 4 | Level 3 + naked options, ratio spreads |
Margin
- RegT (Alpaca): 50% initial, 25% maintenance for equities
- SPAN (futures): risk-based margining per CME SPAN algorithm
- Portfolio Margin: cross-asset netting (IBKR)
Type Alignment (Go ↔ TypeScript)
All Go types in broker/pkg/types/types.go have 1:1 TypeScript equivalents in exchange/pkgs/options/src/types.ts:
OptionContract ↔ OptionContractGreeks (delta, gamma, theta, vega, rho, iv)StrategyLeg (with ratio field for ratio spreads)FuturesContract, FXPair, BondMarginRequirement, AccountMarginInstrument (union type across all asset classes)
References
Lux Research Papers
- lux-lightspeed-dex — Multi-asset order matching
- lux-perpetuals-derivatives — Perpetual futures and options pricing
- lux-credit-lending — Margin lending protocol
- lux- — Liquid staking for collateral
- lux-restaking — Restaking for capital efficiency
Hanzo Research Papers
- hanzo-analytics-ml — ML-based risk analytics
- hanzo-ml-framework — Candle ML framework for pricing models
External Standards
- Black-Scholes-Merton: Options pricing model
- SPAN: CME Standard Portfolio Analysis of Risk
- Reg T: Federal Reserve Board margin requirements