#exchange #trading #simulation #backest #leverage

lfest

A leveraged perpetual futures exchange for simulated trading is a high performance backtesting exchange

70 releases (13 breaking)

0.19.1 Nov 22, 2021
0.18.5 Oct 31, 2021
0.7.7 Jun 22, 2021
0.5.7 Mar 29, 2021

#50 in Algorithms

Custom license

185KB
4K SLoC

Leveraged Futures Exchange for Simulated Trading (LFEST)

⚠️ This is a personal project, use a your own risk.

⚠️ The results may not represent real trading results on any given exchange.

lfest-rs is a blazingly fast simulated exchange capable of leveraged positions. It gets fed external bid ask data to update the internal state and check for order execution. For simplicity's sake (and performance) the exchange does not use an order book. Supported futures types are both linear and inverse futures.

Order Types

The supported order types are:

  • market - aggressively execute against the best bid / ask
  • limit - passively place an order into the orderbook

Performance Metrics:

The following performance metrics are available through AccTracker struct:

  • win_ratio
  • profit_loss_ratio
  • total_rpnl
  • sharpe
  • sortino
  • cumulative fees
  • max_drawdown_wallet_balance
  • max_drawdown_total
  • num_trades
  • turnover
  • trade_percentage
  • buy_ratio
  • limit_order_fill_ratio
  • limit_order_cancellation_ratio
  • historical_value_at_risk
  • cornish_fisher_value_at_risk
  • d_ratio

Some of these metric may behave differently from what you would expect, so make sure to take a look at the code.

How to use

To use this crate in your project, add the following to your Cargo.toml:

[dependencies]
lfest = "0.19.1"

Then proceed to use it in your code.

Here is a basic example:

//! Example usage of Exchange using external trade data.
//! A randomly acting agent places market buy / sell orders every 100 candles

mod load_trades;

#[macro_use]
extern crate log;

use lfest::{Config, Exchange, FuturesType, Order, OrderError, Side};
use load_trades::load_prices_from_csv;
use rand::{thread_rng, Rng};
use std::time::Instant;

fn main() {
 let t0 = Instant::now();

 let config = Config {
  fee_maker: -0.00025,
  fee_taker: 0.001,
  starting_balance: 1.0,
  leverage: 1.0,
  futures_type: FuturesType::Inverse,
 };
 let mut exchange = Exchange::new(config);

 // load trades from csv file
 let prices = load_prices_from_csv("./data/Bitmex_XBTUSD_1M.csv").unwrap();

 // use random action every 100 trades to buy or sell
 let mut rng = thread_rng();

 for (i, p) in prices.iter().enumerate() {
  let (exec_orders, liq) = exchange.update_state(*p, *p, i as u64, *p, *p);
  if liq {
   // check liquidation
  }
  println!("executed orders: {:?}", exec_orders);

  if i % 100 == 0 {
   // randomly buy or sell using a market order
   let r = rng.gen::<f64>();
   // Trade a fraction of the available wallet balance
   let order_size: f64 = exchange.account().margin().wallet_balance() * 0.1;
   let order: Order = if r > 0.5 {
    Order::market(Side::Sell, order_size).unwrap() // Sell using market order
   } else {
    Order::market(Side::Buy, order_size).unwrap() // Buy using market order
   };
   // Handle order error here if needed
   let response: Result<Order, OrderError> = exchange.submit_order(order);
   match response {
    Ok(order) => println!("succesfully submitted order: {:?}", order),
    Err(order_err) => match order_err {
     OrderError::MaxActiveOrders => {
      error!("maximum number of active orders reached")
     }
     OrderError::InvalidLimitPrice => error!("invalid limit price of order"),
     OrderError::InvalidTriggerPrice => error!("invalid trigger price of order"),
     OrderError::InvalidOrderSize => error!("invalid order size"),
     OrderError::NotEnoughAvailableBalance => {
      error!("not enough available balance in account")
     }
    },
   }
  }
 }
 println!(
  "time to simulate 1 million historical trades and {} orders: {}ms",
  exchange.account().acc_tracker().num_trades(),
  t0.elapsed().as_millis()
 );
 analyze_results(&exchange);
}

/// analyze the resulting performance metrics of the traded orders
fn analyze_results(e: &Exchange) {
 let win_ratio = e.account().acc_tracker().win_ratio();
 let profit_loss_ratio = e.account().acc_tracker().profit_loss_ratio();
 let rpnl = e.account().acc_tracker().total_rpnl();
 let sharpe = e.account().acc_tracker().sharpe();
 let sortino = e.account().acc_tracker().sortino();
 let sterling_ratio = e.account().acc_tracker().sharpe_sterling_ratio();
 let max_drawdown = e.account().acc_tracker().max_drawdown();
 let max_upnl_drawdown = e.account().acc_tracker().max_upnl_drawdown();
 let num_trades = e.account().acc_tracker().num_trades();
 let turnover = e.account().acc_tracker().turnover();
 let buy_ratio = e.account().acc_tracker().buy_ratio();
 println!("win_ratio: {:.2}, profit_loss_ratio: {:.2}, rpnl: {:.2}, sharpe: {:.2}, sortino: {:.2}, sr: {:.2}, \
    dd: {:.2}, upnl_dd: {:.2}, #trades: {}, turnover: {}, buy_ratio: {:.2},",
          win_ratio,
          profit_loss_ratio,
          rpnl,
          sharpe,
          sortino,
          sterling_ratio,
          max_drawdown,
          max_upnl_drawdown,
          num_trades,
          turnover,
          buy_ratio,
 );
}

TODOs:

  • proper liquidations
  • add order filter configuration such as min_qty and qty_precision
  • add max_num_limit_orders to config
  • impl Display for Side and FuturesType
  • add optional order filtering such as
    • PriceFilters:
      • min_price
      • max_price
      • tick_size
    • SizeFilters:
      • min_size
      • max_size
      • step_size
  • add config option to disable acc_tracker, which will save a bunch of RAM

Contributions

If you find a bug or would like to help out, feel free to create a pull-request.

Donations 💰 💸

I you would like to support the development of this crate, feel free to send over a donation:

Monero (XMR) address:

47xMvxNKsCKMt2owkDuN1Bci2KMiqGrAFCQFSLijWLs49ua67222Wu3LZryyopDVPYgYmAnYkSZSz9ZW2buaDwdyKTWGwwb

monero

License

Copyright (C) 2020 <Mathis Wellmann wellmannmathis@gmail.com>

This program is free software: you can redistribute it and/or modify it under the terms of the GNU Affero General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU Affero General Public License for more details.

You should have received a copy of the GNU Affero General Public License along with this program. If not, see https://www.gnu.org/licenses/.

GNU AGPLv3

Dependencies

~3–4.5MB
~99K SLoC