Hyperliquid Backtester

A comprehensive Rust library that integrates Hyperliquid trading data with the rs-backtester framework to enable sophisticated backtesting of trading strategies using real Hyperliquid market data, including perpetual futures mechanics and funding rate calculations.

✨ Features

• 🚀 Async Data Fetching: Efficiently fetch historical OHLC data from Hyperliquid API
• 💰 Funding Rate Support: Complete funding rate data and perpetual futures mechanics
• 🔄 Seamless Integration: Drop-in replacement for rs-backtester with enhanced features
• 📊 Enhanced Reporting: Comprehensive metrics including funding PnL and arbitrage analysis
• ⚡ High Performance: Optimized for large datasets and complex multi-asset strategies
• 🛡️ Type Safety: Comprehensive error handling with detailed error messages
• 📈 Advanced Strategies: Built-in funding arbitrage and enhanced technical indicators
• 🔧 Developer Friendly: Extensive documentation, examples, and migration guides
• 📝 Structured Logging: Built-in logging and debugging support with configurable output

📦 Installation

Add this to your Cargo.toml:

[dependencies]
hyperliquid-backtest = "0.1"
tokio = { version = "1.0", features = ["full"] }
chrono = { version = "0.4", features = ["serde"] }

System Requirements

• Rust: 1.70 or later
• Operating System: Linux, macOS, or Windows
• Memory: Minimum 4GB RAM (8GB+ recommended for large datasets)
• Network: Internet connection required for Hyperliquid API access

🚀 Quick Start

Basic Backtesting Example

use hyperliquid_backtest::prelude::*;
use chrono::{DateTime, FixedOffset, Utc};

#[tokio::main]
async fn main() -> Result<(), HyperliquidBacktestError> {
    // Initialize logging (optional but recommended)
    init_logger();
    
    // Define time range (last 30 days)
    let end_time = Utc::now().timestamp() as u64;
    let start_time = end_time - (30 * 24 * 60 * 60); // 30 days ago
    
    // Fetch historical data for BTC with 1-hour intervals
    let data = HyperliquidData::fetch("BTC", "1h", start_time, end_time).await?;
    
    // Create a simple moving average crossover strategy
    let strategy = enhanced_sma_cross(10, 20, Default::default())?;
    
    // Set up backtest with $10,000 initial capital
    let mut backtest = HyperliquidBacktest::new(
        data,
        strategy,
        10000.0,
        HyperliquidCommission::default(),
    )?;
    
    // Run backtest including funding calculations
    backtest.calculate_with_funding()?;
    
    // Generate comprehensive report
    let report = backtest.enhanced_report()?;
    
    println!("📊 Backtest Results:");
    println!("Total Return: {:.2}%", report.total_return * 100.0);
    println!("Trading PnL: ${:.2}", report.trading_pnl);
    println!("Funding PnL: ${:.2}", report.funding_pnl);
    println!("Sharpe Ratio: {:.3}", report.sharpe_ratio);
    
    Ok(())
}

Funding Arbitrage Strategy

use hyperliquid_backtest::prelude::*;

#[tokio::main]
async fn main() -> Result<(), HyperliquidBacktestError> {
    init_logger_with_level("debug");
    
    let end_time = Utc::now().timestamp() as u64;
    let start_time = end_time - (7 * 24 * 60 * 60); // 7 days ago
    
    let data = HyperliquidData::fetch("ETH", "1h", start_time, end_time).await?;
    
    // Create funding arbitrage strategy with 0.01% threshold
    let strategy = funding_arbitrage_strategy(0.0001)?;
    
    let mut backtest = HyperliquidBacktest::new(
        data,
        strategy,
        50000.0, // Higher capital for arbitrage
        HyperliquidCommission::default(),
    )?;
    
    backtest.calculate_with_funding()?;
    
    // Get detailed funding analysis
    let funding_report = backtest.funding_report()?;
    
    println!("💰 Funding Arbitrage Results:");
    println!("Total Funding Received: ${:.2}", funding_report.total_funding_received);
    println!("Total Funding Paid: ${:.2}", funding_report.total_funding_paid);
    println!("Net Funding PnL: ${:.2}", funding_report.net_funding_pnl);
    println!("Average Funding Rate: {:.4}%", funding_report.avg_funding_rate * 100.0);
    
    Ok(())
}

📚 Usage Guide

Data Fetching

The library supports fetching historical data for various cryptocurrencies and time intervals:

use hyperliquid_backtest::prelude::*;

// Supported intervals: "1m", "5m", "15m", "1h", "4h", "1d"
let data = HyperliquidData::fetch("BTC", "1h", start_time, end_time).await?;

// Access OHLC data
println!("Number of candles: {}", data.datetime.len());
println!("Latest close price: ${:.2}", data.close.last().unwrap());

// Access funding rate data
if let Some(latest_funding) = data.funding_rates.last() {
    println!("Latest funding rate: {:.4}%", latest_funding * 100.0);
}

Supported Trading Pairs

The library supports all major cryptocurrencies available on Hyperliquid:

• Major Pairs: BTC, ETH, SOL, AVAX, DOGE, etc.
• DeFi Tokens: UNI, AAVE, COMP, MKR, etc.
• Layer 1s: ADA, DOT, ATOM, NEAR, etc.
• Meme Coins: SHIB, PEPE, WIF, etc.

Commission Structure

Configure realistic trading fees based on Hyperliquid's fee structure:

use hyperliquid_backtest::prelude::*;

// Default Hyperliquid fees
let commission = HyperliquidCommission::default(); // 0.02% maker, 0.05% taker

// Custom fee structure
let custom_commission = HyperliquidCommission {
    maker_rate: 0.0001,  // 0.01% maker fee
    taker_rate: 0.0003,  // 0.03% taker fee
    funding_enabled: true,
};

Strategy Development

Create custom strategies using the built-in framework:

use hyperliquid_backtest::prelude::*;

// Enhanced SMA crossover with funding awareness
let strategy = enhanced_sma_cross(
    10,  // Short period
    20,  // Long period
    FundingAwareConfig {
        funding_weight: 0.1,
        min_funding_threshold: 0.0001,
    }
)?;

// Funding arbitrage strategy
let arb_strategy = funding_arbitrage_strategy(0.0005)?; // 0.05% threshold

Enhanced Reporting

Generate comprehensive reports with funding-specific metrics:

// Standard enhanced report
let report = backtest.enhanced_report()?;
println!("Sharpe Ratio: {:.3}", report.sharpe_ratio);
println!("Max Drawdown: {:.2}%", report.max_drawdown * 100.0);

// Funding-specific report
let funding_report = backtest.funding_report()?;
println!("Funding Efficiency: {:.2}", funding_report.funding_efficiency);
println!("Funding Volatility: {:.4}", funding_report.funding_volatility);

// Export to CSV
backtest.export_enhanced_csv("backtest_results.csv")?;

Logging and Debugging

Configure logging for development and production:

use hyperliquid_backtest::prelude::*;

// Basic logging setup
init_logger(); // INFO level by default

// Debug logging
init_logger_with_level("debug");

// Environment variable control
// RUST_LOG=debug cargo run --example basic_backtest
// HYPERLIQUID_LOG_FORMAT=json cargo run
// HYPERLIQUID_LOG_FILE=backtest.log cargo run

🔄 API Stability

This crate follows Semantic Versioning (SemVer):

• Major version (0.x.y → 1.0.0): Breaking API changes
• Minor version (0.1.x → 0.2.0): New features, backward compatible
• Patch version (0.1.0 → 0.1.1): Bug fixes, backward compatible

Current version: 0.1.0 (Pre-1.0 development phase)

Stability Guarantees

• ✅ Public API: All items in the prelude module are considered stable within minor versions
• ✅ Data Structures: HyperliquidData, HyperliquidBacktest, and HyperliquidCommission are stable
• ✅ Error Types: HyperliquidBacktestError variants may be added but not removed in minor versions
• ✅ Strategy Interface: HyperliquidStrategy trait is stable for implementors

📖 Examples

The library includes comprehensive examples in the examples/ directory:

• basic_backtest.rs: Simple backtesting workflow
• funding_arbitrage_advanced.rs: Advanced funding arbitrage strategies
• multi_asset_backtest.rs: Multi-asset portfolio backtesting
• csv_export_example.rs: Data export and analysis
• performance_comparison.rs: Strategy performance comparison
• simple_data_fetching.rs: Data fetching and exploration

Run examples with:

cargo run --example basic_backtest
cargo run --example funding_arbitrage_advanced

🛠️ Advanced Features

Performance Monitoring

Track performance of operations with built-in spans:

use hyperliquid_backtest::prelude::*;
use tracing::Instrument;

async fn fetch_and_backtest() -> Result<(), HyperliquidBacktestError> {
    let span = performance_span("full_backtest", &[
        ("symbol", "BTC"),
        ("interval", "1h"),
        ("days", "30")
    ]);
    
    async {
        let data = HyperliquidData::fetch("BTC", "1h", start_time, end_time).await?;
        // ... rest of backtest logic
        Ok(())
    }
    .instrument(span)
    .await
}

Error Handling

Comprehensive error handling with detailed context:

use hyperliquid_backtest::prelude::*;

match HyperliquidData::fetch("INVALID", "1h", start, end).await {
    Ok(data) => println!("Success!"),
    Err(HyperliquidBacktestError::HyperliquidApi(msg)) => {
        eprintln!("API Error: {}", msg);
        // Handle API-specific errors
    },
    Err(HyperliquidBacktestError::UnsupportedInterval(interval)) => {
        eprintln!("Unsupported interval: {}", interval);
        eprintln!("Supported intervals: 1m, 5m, 15m, 1h, 4h, 1d");
    },
    Err(e) => eprintln!("Other error: {}", e),
}

Migration from rs-backtester

This library is designed as a drop-in enhancement to rs-backtester:

// Before (rs-backtester)
use rs_backtester::prelude::*;
let data = Data::from_csv("data.csv")?;

// After (hyperliquid-backtest)
use hyperliquid_backtest::prelude::*;
let data = HyperliquidData::fetch("BTC", "1h", start, end).await?;
let rs_data = data.to_rs_backtester_data(); // Convert if needed

🧪 Testing

Run the test suite:

# Run all tests
cargo test

# Run with logging
RUST_LOG=debug cargo test

# Run specific test module
cargo test --test integration_tests

# Run benchmarks
cargo bench

📊 Performance

The library is optimized for performance with large datasets:

• Memory Efficient: Streaming data processing for large time ranges
• Async Operations: Non-blocking API calls and data processing
• Caching: Intelligent caching of funding rate data
• Parallel Processing: Multi-threaded backtesting for complex strategies

Benchmark results on a modern system:

• Data Fetching: ~500ms for 30 days of 1h data
• Backtesting: ~50ms for 1000 trades with funding calculations
• Memory Usage: ~10MB for 30 days of 1h OHLC + funding data

🤝 Contributing

Contributions are welcome! Please see our Contributing Guide for details.

Development Setup

git clone https://github.com/xsa-dev/hyperliquid-backtest.git
cd hyperliquid-backtest
cargo build
cargo test

Code Style

We use rustfmt and clippy for code formatting and linting:

cargo fmt
cargo clippy -- -D warnings

📄 License

This project is dual-licensed under the MIT OR Apache-2.0 license.

• MIT License
• Apache License 2.0

⚠️ Disclaimer

This is an experimental library. Use at your own risk. All actions are performed at your own risk.

This software is for educational and research purposes only. Trading cryptocurrencies involves substantial risk and may not be suitable for all investors. Past performance does not guarantee future results.

Important Notes:

• Always test strategies thoroughly before using real capital
• Be aware of API rate limits when fetching large amounts of data
• Funding rates and market conditions can change rapidly
• Consider transaction costs and slippage in live trading

🔗 Links

• Documentation
• Crates.io
• GitHub Repository
• Hyperliquid Exchange
• rs-backtester

📞 Support

• Issues: GitHub Issues
• Discussions: GitHub Discussions
• Documentation: docs.rs