98 releases (25 breaking)
new 0.32.3 | Mar 19, 2023 |
---|---|
0.31.0 | Mar 5, 2023 |
0.23.4 | Dec 28, 2022 |
0.23.3 | Oct 18, 2022 |
0.5.7 | Mar 29, 2021 |
#5 in Finance
241 downloads per month
240KB
5K
SLoC
Leveraged Futures Exchange for Simulated Trading (LFEST)
☢️ This is a personal project, use a your own risk.
lfest-rs is a simulated futures exchange capable of leveraged positions.
You fed it external market data through the MarketUpdate
enum to update the internal state.
Where you either provide bid and ask price or information derived from a candle.
Macros (bba
, candle
) make it easy to construct the concrete variant.
For simplicity's sake (and performance) the exchange does not use an order book.
The exchange can be configured using Config
Features:
- 💱 Fixed point arithmetic using
fpdec
crate, for super fast and precise numeric calculations. - 🧠 Use of newtype pattern to enforce the correct types at function boundaries.
Examples includeBaseCurrency
,QuoteCurrency
,Fee
andLeverage
.
This makes it impossible to mistakenly input for example aUSD
denoted value into a function that expects aBTC
denoted value. - 📡 Flexible market data integration through the
MarketUpdate
type and associated macros. - 💹 Integrated performance tracking.
Use the existingFullAccountTracker
or implement your own using theAccountTracker
trait. - ✔️ Broad test coverage, to get closer to ensured correctness.
- 🔍 Auditable due to its small and consice codebase. < 8k LOC
- 📃 Supports both linear and inverse futures contracts.
- ⛔ Order filtering to make sure the price and quantity follow certain rules.
See
PriceFilter
andQuantityFilter
Order Types
The supported order types are:
Market
: aggressively execute against the best bid / askLimit
: passively place an order into the orderbook
Performance Metrics:
The following performance metrics are available when using the FullTrack
AccountTracker
,
but you may define any performance metric by implementing the AccountTracker
trait.
win_ratio
: wins / total_tradesprofit_loss_ratio
: avg_win_amnt / avg_loss_amnttotal_rpnl
: Total realized profit and losssharpe
sortino
cumulative fees
: Sum total of fees payed to the exchangemax_drawdown_wallet_balance
: Maximum fraction the wallet balance has decreased from its high.max_drawdown_total
: Drawdown including unrealized profit and lossnum_trades
: The total number of trades executedturnover
: The total quantity executedtrade_percentage
: trades / total_trade_opportunitiesbuy_ratio
: buys / total_tradeslimit_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 = "0.32.0"
Then proceed to use it in your code. For an example see examples
TODOs:
- proper liquidations
- Rework some internal components for greater clarity and simplicity
- Order filters (price and quantity)
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
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/.
Dependencies
~3–4MB
~95K SLoC