lfest 0.77.0

A leveraged perpetual futures exchange for simulated trading and backtesting
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

//! Test file for the linear futures mode of the exchange

use lfest::{mock_exchange_linear_with_account_tracker, prelude::*, TEST_FEE_TAKER};

#[test]
#[tracing_test::traced_test]
fn lin_long_market_win_full() {
    let starting_balance = quote!(1000);
    let mut exchange = mock_exchange_linear_with_account_tracker(starting_balance);
    let mut accounting = InMemoryTransactionAccounting::new(starting_balance);
    let init_margin_req = exchange.config().contract_spec().init_margin_req();
    let _ = exchange
        .update_state(
            0.into(),
            &Bba {
                bid: quote!(99.0),
                ask: quote!(100.0),
            },
        )
        .unwrap();
    assert_eq!(exchange.account_tracker().num_submitted_limit_orders(), 0);
    assert_eq!(exchange.account_tracker().num_cancelled_limit_orders(), 0);
    assert_eq!(
        exchange.account_tracker().num_fully_filled_limit_orders(),
        0
    );
    assert_eq!(exchange.account_tracker().num_submitted_market_orders(), 0);
    assert_eq!(exchange.account_tracker().num_filled_market_orders(), 0);
    assert_eq!(exchange.account_tracker().buy_volume(), quote!(0));
    assert_eq!(exchange.account_tracker().sell_volume(), quote!(0));
    assert_eq!(exchange.fees_paid(), quote!(0));

    let qty = base!(5);
    exchange
        .submit_market_order(MarketOrder::new(Side::Buy, qty).unwrap())
        .unwrap();
    let bid = quote!(100);
    let ask = quote!(101);
    let order_updates = exchange.update_state(0.into(), &bba!(bid, ask)).unwrap();
    assert!(order_updates.is_empty());
    assert_eq!(exchange.account_tracker().num_submitted_limit_orders(), 0);
    assert_eq!(exchange.account_tracker().num_cancelled_limit_orders(), 0);
    assert_eq!(
        exchange.account_tracker().num_fully_filled_limit_orders(),
        0
    );
    assert_eq!(exchange.account_tracker().num_submitted_market_orders(), 1);
    assert_eq!(exchange.account_tracker().num_filled_market_orders(), 1);
    assert_eq!(exchange.account_tracker().buy_volume(), quote!(500));
    assert_eq!(exchange.account_tracker().sell_volume(), quote!(0));

    let fees = qty.convert(bid) * TEST_FEE_TAKER;
    assert_eq!(
        exchange.position().clone(),
        Position::Long(PositionInner::new(
            qty,
            bid,
            &mut accounting,
            init_margin_req,
            fees,
        ))
    );
    assert_eq!(exchange.position().unrealized_pnl(bid, ask), quote!(0.0));
    assert_eq!(
        exchange.user_balances(),
        UserBalances {
            available_wallet_balance: quote!(500),
            position_margin: quote!(500),
            order_margin: quote!(0)
        }
    );

    let bid = quote!(200);
    let ask = quote!(201);
    let order_updates = exchange.update_state(0.into(), &bba!(bid, ask)).unwrap();
    assert!(order_updates.is_empty());
    assert_eq!(
        exchange.position().unrealized_pnl(quote!(200), quote!(201)),
        quote!(500.0)
    );

    exchange
        .submit_market_order(MarketOrder::new(Side::Sell, base!(5.0)).unwrap())
        .unwrap();

    assert_eq!(exchange.position(), &Position::Neutral);
    assert_eq!(
        exchange.position().unrealized_pnl(quote!(200), quote!(201)),
        quote!(0.0)
    );
    assert_eq!(
        exchange.user_balances(),
        UserBalances {
            available_wallet_balance: quote!(1499.1),
            position_margin: quote!(0),
            order_margin: quote!(0)
        }
    );
    assert_eq!(exchange.account_tracker().num_submitted_limit_orders(), 0);
    assert_eq!(exchange.account_tracker().num_cancelled_limit_orders(), 0);
    assert_eq!(
        exchange.account_tracker().num_fully_filled_limit_orders(),
        0
    );
    assert_eq!(exchange.account_tracker().num_submitted_market_orders(), 2);
    assert_eq!(exchange.account_tracker().num_filled_market_orders(), 2);
    assert_eq!(exchange.account_tracker().buy_volume(), quote!(500));
    assert_eq!(exchange.account_tracker().sell_volume(), quote!(1000));
    assert_eq!(exchange.fees_paid(), quote!(0.9));
}