barter-rs

Barter is an open-source Rust library containing high-performance & modular components for constructing both live-trading & backtesting engines.

1 Overview

The main components are Data, Strategy, Portfolio, Execution & Statistic.

Each components is stand-alone & de-coupled. Their behaviour is captured in a set of communicative traits that define how each component responds to external events.

1.1 Data Handler, Strategy & Execution Handler

The Data, Strategy & Execution components are designed to be used by one trading pair only (eg/ ETH-USD on Binance). In order to trade multiple pairs on multiple exchanges, many combinations of these three components should be constructed and run concurrently.

1.1.1 Data

LiveCandlerHandler implementation provides a batteries included MarketEvent generator that utilises barter-data-rs unified WebSocket interface. This enables consumption of a normalised market data stream via the the underlying ExchangeClient.
HistoricCandleHandler implementation included that allows a simulated MarketEvent generation based on a provided set of historical Candles.

1.2 Portfolio - Global State

The Portfolio component is designed in order to manage infinite trading pairs simultaneously, creating a centralised state machine for managing trades across different asset classes, exchanges, and trading pairs.

1.3 Statistics

The Statistic component contains metrics used to analyse trading session performance. One-pass dispersion algorithms analyse each closed Position and efficiently update a PnL Return Summary. This summary, in conjunction with the closed Position, is used to calculate key metrics such as Sharpe Ratio, Calmar Ratio and Max Drawdown. All metrics can be updated on the fly and used by the Portfolio's allocation & risk management.