Leveraged Futures Exchange for Simulated Trading (LFEST)

:warning: This is a personal project, use a your own risk.

:warning: 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 data either as a trade or a candle to update the internal state and check for order execution. For simplicity's sake (and performance) the exchange does not use an order book

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: - winratio - profitlossratio - totalrpnl - sharpe - sharpedailyreturns - sortino - cumulative fees - sharpesterlingratio - maxdrawdown - maxupnldrawdown - numtrades - turnover - tradepercentage - buyratio - limitorderfillratio - limitordercancellationratio

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 = "0.9.0"

Then proceed to use it in your code.

Here is a basic example: ```rust //! 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 loadtrades::loadpricesfromcsv; use rand::{thread_rng, Rng}; use std::time::Instant;

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

let config = Config { feemaker: -0.00025, feetaker: 0.001, startingbalance: 1.0, leverage: 1.0, futurestype: FuturesType::Inverse, }; let mut exchange = Exchange::new(config);

// load trades from csv file let prices = loadpricesfromcsv("./data/BitmexXBTUSD_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 (execorders, liq) = exchange.updatestate(*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::(); // Trade a fraction of the available wallet balance let ordersize: f64 = exchange.account().margin().walletbalance() * 0.1; let order: Order = if r > 0.5 { Order::market(Side::Sell, ordersize).unwrap() // Sell using market order } else { Order::market(Side::Buy, ordersize).unwrap() // Buy using market order }; // Handle order error here if needed let response: Result = exchange.submitorder(order); match response { Ok(order) => println!("succesfully submitted order: {:?}", order), Err(ordererr) => match ordererr { 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().acctracker().numtrades(), t0.elapsed().asmillis() ); analyze_results(&exchange); }

/// analyze the resulting performance metrics of the traded orders fn analyzeresults(e: &Exchange) { let winratio = e.account().acctracker().winratio(); let profitlossratio = e.account().acctracker().profitlossratio(); let rpnl = e.account().acctracker().totalrpnl(); let sharpe = e.account().acctracker().sharpe(); let sortino = e.account().acctracker().sortino(); let sterlingratio = e.account().acctracker().sharpesterlingratio(); let maxdrawdown = e.account().acctracker().maxdrawdown(); let maxupnldrawdown = e.account().acctracker().maxupnldrawdown(); let numtrades = e.account().acctracker().numtrades(); let turnover = e.account().acctracker().turnover(); let buyratio = e.account().acctracker().buyratio(); println!("winratio: {:.2}, profitlossratio: {:.2}, rpnl: {:.2}, sharpe: {:.2}, sortino: {:.2}, sr: {:.2}, \ dd: {:.2}, upnldd: {:.2}, #trades: {}, turnover: {}, buyratio: {:.2},", winratio, profitlossratio, rpnl, sharpe, sortino, sterlingratio, maxdrawdown, maxupnldrawdown, numtrades, turnover, buyratio, ); } ```

TODOs:

• proper order margin mechanism
• proper liquidations
• add order filter configuration such as minqty and qtyprecision
• add maxnumlimit_orders to config
• impl Display for Side and FuturesType
• add optional order filtering such as
  • PriceFilters:
  • minprice
  • maxprice
  • ticksize
  • SizeFilters:
  • minsize
  • maxsize
  • stepsize
• auto convert limit orders to market orders if limit_price is worse than bid / ask

Contributions

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

Donations :moneybag: :moneywithwings:

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

Monero (XMR) address: plain 47xMvxNKsCKMt2owkDuN1Bci2KMiqGrAFCQFSLijWLs49ua67222Wu3LZryyopDVPYgYmAnYkSZSz9ZW2buaDwdyKTWGwwb

License

Copyright (C) 2020

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/.