ironcondor 0.0.1

High-performance backtesting engine for options trading strategies with order-book-level fill simulation. Built on OptionStratLib.
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  • Source code size: 5.42 kB This is the summed size of all the files inside the crates.io package for this release.
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  • all releases: 31s Average build duration of successful builds in releases after 2024-10-23.
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IronCondor

🚧 Early development — v0.0.1 reserves the crate name. APIs do not exist yet.

IronCondor is a high-performance backtesting engine for options trading strategies, written in Rust.

Why another backtester?

Every existing backtester fills options orders at mid or bid/ask with a fixed slippage assumption. IronCondor simulates execution at the order book level — queue position, per-strike liquidity, and real market impact — using a full options matching engine.

Planned features

  • Order-book-level fills: route orders through Option-Chain-OrderBook instead of assuming mid-price fills. A fast naive mode (mid/spread) is also available for quick iteration.
  • Multi-leg strategies: spreads, condors, butterflies and custom strategies via OptionStratLib.
  • P&L attribution by Greek: decompose returns into theta, delta, vega and spread capture.
  • Synthetic data: no historical chains? Generate realistic ones with OptionChain-Simulator.
  • Python bindings: first-class Python API via PyO3, published on PyPI.

Ecosystem

Part of a family of Rust crates for options trading infrastructure: OrderBook-rs · OptionStratLib · PriceLevel · Option-Chain-OrderBook

License

MIT — see LICENSE.

Contact

Joaquin Bejar — jb@taunais.com