chapaty 1.0.0

High-performance backtesting and financial simulation framework for trading strategies and reinforcement learning agents. Async-first, Gym-like API in Rust.
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112

use serde::{Deserialize, Serialize};

use crate::{
    error::ChapatyResult,
    gym::trading::{action::Actions, observation::Observation},
    impl_add_sub_mul_div_primitive, impl_from_primitive,
};

pub mod trading;

pub trait Env {
    fn reset(&mut self) -> ChapatyResult<(Observation<'_>, Reward, StepOutcome)>;
    fn step(&mut self, actions: Actions) -> ChapatyResult<(Observation<'_>, Reward, StepOutcome)>;
}

/// Represents a reward value in whole dollars.
///
/// This struct wraps an `i64` to avoid floating-point precision issues, ensuring
/// exact comparisons and efficient operations in financial calculations.
///
/// # Rationale
///
/// - Using `i64` avoids floating-point inaccuracies (e.g., `0.1 + 0.2 != 0.3` in `f64`).
/// - `i64` ensures deterministic ordering and equality comparisons.
#[derive(Debug, Clone, Copy, PartialEq, Eq, PartialOrd, Ord, Serialize, Deserialize)]
pub struct Reward(pub i64);
impl_from_primitive!(Reward, i64);
impl_add_sub_mul_div_primitive!(Reward, i64);

/// Represents the lifecycle status of the trading environment.
///
/// This enum tracks the state of the simulation, guiding the flow from the
/// initial start, through sequential episodes, to the final completion.
///
/// # Lifecycle
///
/// The environment follows a finite state machine (FSM) with the following valid transitions. Other transitions return an error.
///
/// ```md
/// Current State (optional step context)           | Action  | Next State  | Notes
/// ------------------------------------------------|---------|-------------|-------------------------------------------
/// `Running` (end of episode)                      | step()  | EpisodeDone | Episode terminates
/// `Running` (no simulation data left)             | step()  | Done        | Epoch terminates
/// `Running`                                       | step()  | Running     | Continue within episode
/// `EpisodeDone` (simulation data left)            | reset() | Running     | Proceed to next episode
/// `Ready` / `Running` / `EpisodeDone` / `Done`    | reset() | Running     | Restart entire run. Start at first episode
/// ```
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
pub enum EnvStatus {
    /// Initial state. The environment is waiting for `reset()` to be called.
    Ready,

    /// An episode is active and the environment is ready for `step()` calls.
    ///
    /// The attached `Episode` value tracks the current episode number, starting from 0.
    Running,

    /// The active episode has reached a terminal state.
    ///
    /// A call to `reset()` is required to start the next episode.
    EpisodeDone,

    /// The simulation is complete and has run out of data.
    Done,
}

impl EnvStatus {
    pub fn is_ready(&self) -> bool {
        matches!(self, Self::Ready)
    }

    pub fn is_running(&self) -> bool {
        matches!(self, Self::Running)
    }

    pub fn is_episode_done(&self) -> bool {
        matches!(self, Self::EpisodeDone)
    }

    pub fn is_done(&self) -> bool {
        matches!(self, Self::Done)
    }
}

#[derive(Debug, Clone, Copy, PartialEq, Eq)]
pub enum StepOutcome {
    InProgress,
    /// agent closed position / success / fail
    Terminated,
    /// episode boundary due to time
    Truncated,
    /// end of data / end of epoch
    Done,
}

impl StepOutcome {
    pub fn is_done(&self) -> bool {
        matches!(self, Self::Done)
    }

    pub fn is_terminated(&self) -> bool {
        matches!(self, Self::Terminated)
    }

    pub fn is_truncated(&self) -> bool {
        matches!(self, Self::Truncated)
    }

    pub fn is_terminal(&self) -> bool {
        self.is_terminated() || self.is_truncated()
    }
}