# 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.
This crate aims to be a high performance simulated exchange capable of leveraged positions.
### Order Types
The supported order types are:
- market,
- limit
- stop_market
### Performance Metrics:
The following performance metrics are available through AccTracker struct:
- total_rpnl
- sharpe
- sharpe_daily_returns
- sortino
- cumulative fees
- sharpe_sterling_ratio
- max_drawdown
- max_upnl_drawdown
- num_trades
- trade_percentage
- buy_ratio
- win_ratio
- turnover
- limit_order_fill_ratio
- limit_order_cancellation_ratio
### How to use
To use this crate in your project, add the following to your Cargo.toml:
```
[dependencies]
lfest = { git = "https://github.com/MathisWellmann/lfest-rs" }
```
Then proceed to use it in your code.
The following example uses a Trade to update the bid and ask price of the exchange.
```rust
mod load_trades;
use lfest::{Config, Exchange, Order, Side};
use load_trades::load_trades_from_csv;
use rand::{thread_rng, Rng};
use std::time::Instant;
fn main() {
let t0 = Instant::now();
let config = Config{
fee_maker: -0.00025,
fee_taker: 0.001,
starting_balance_base: 1.0,
use_candles: false,
leverage: 1.0
};
let mut exchange = Exchange::new(config);
// load trades from csv file
let trades = load_trades_from_csv("./data/Bitmex_XBTUSD_1M.csv").unwrap();
// use random action to buy or sell
let mut rng = thread_rng();
for t in &trades {
let liq = exchange.consume_trade(t);
if liq {
println!(
"position liquidated, \
but there could still be enough wallet_balance to open a new position"
);
}
// randomly buy or sell using a market order
let r = rng.gen::<f64>();
// Trade a fraction of the available wallet balance
let order_size: f64 = exchange.margin().wallet_balance() * 0.01;
let order: Order = if r > 0.98 {
// Sell order
Order::market(Side::Sell, order_size)
} else if r < 0.02 {
// BUY
Order::market(Side::Buy, order_size)
} else {
// Neutral
continue;
};
let _order_err = exchange.submit_order(order);
// Handle order error here if needed
}
println!(
"time to simulate 1 million historical trades and {} orders: {}ms",
exchange.acc_tracker().num_trades(),
t0.elapsed().as_millis()
);
analyze_results(&exchange);
}
/// analyzer the resulting performance metrics of the traded orders
fn analyze_results(e: &Exchange) {
let rpnl = e.acc_tracker().total_rpnl();
let sharpe = e.acc_tracker().sharpe();
let sortino = e.acc_tracker().sortino();
let sterling_ratio = e.acc_tracker().sharpe_sterling_ratio();
let max_drawdown = e.acc_tracker().max_drawdown();
let max_upnl_drawdown = e.acc_tracker().max_upnl_drawdown();
let num_trades = e.acc_tracker().num_trades();
let buy_ratio = e.acc_tracker().buy_ratio();
let turnover = e.acc_tracker().turnover();
let win_ratio = e.acc_tracker().win_ratio();
println!(
"rpnl: {:.2}, sharpe: {:.2}, sortino: {:.2}, sr: {:.2}, \
dd: {:.2}, upnl_dd: {:.2}, #trades: {}, buy_ratio: {:.2}, turnover: {}, win_ratio: {}",
rpnl,
sharpe,
sortino,
sterling_ratio,
max_drawdown,
max_upnl_drawdown,
num_trades,
buy_ratio,
turnover,
win_ratio
);
}
```
See the examples folder for more code.
### Benchmark
See the example use_trades.rs and compile in release mode to see that the Exchange
is capable of simulating 1 million historical trades and executing ~40k market orders in ~470ms.
### Dependencies
A non trivial dependency is [trade_aggregation](https://github.com/MathisWellmann/)
as the exchange relies on the Trade and Candle struct.
### Contributions
If you find a bug or would like to help out, feel free to create a pull-request.
### Donations :moneybag: :money_with_wings:
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 <Mathis Wellmann wellmannmathis@gmail.com>
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/>.
