lfest/
config.rs

1use getset::{CopyGetters, Getters};
2
3use crate::{
4    contract_specification::ContractSpecification,
5    prelude::{ConfigError, MarginCurrency},
6};
7
8#[derive(Debug, Clone, Getters, CopyGetters)]
9/// Define the Exchange configuration
10pub struct Config<M>
11where
12    M: MarginCurrency,
13{
14    /// The starting balance of account (denoted in margin currency).
15    /// The concrete `Currency` here defines the futures type.
16    /// If `QuoteCurrency` is used as the margin currency,
17    /// then its a linear futures contract.
18    /// If `BaseCurrency` is used as the margin currency,
19    /// then its an inverse futures contract.
20    #[getset(get_copy = "pub")]
21    starting_wallet_balance: M,
22
23    /// The maximum number of open orders the user can have at any given time
24    #[getset(get_copy = "pub")]
25    max_num_open_orders: usize,
26
27    /// The contract specification.
28    #[getset(get = "pub")]
29    contract_spec: ContractSpecification<M::PairedCurrency>,
30
31    /// The interval by which to sample the returns of user balances.
32    /// This is used to analyze the trading performance later on, to enable things like `sharpe`, `sortino`, anything based on returns.
33    #[getset(get_copy = "pub")]
34    sample_returns_every_n_seconds: u64,
35}
36
37impl<M> Config<M>
38where
39    M: MarginCurrency,
40{
41    /// Create a new Config.
42    ///
43    /// # Arguments:
44    /// `starting_balance`: Initial Wallet Balance, denoted in QUOTE if using
45    /// linear futures, denoted in BASE for inverse futures
46    /// `max_num_open_orders`: The maximum number of open ordes a user can have
47    /// at any time.
48    /// `contract_specification`: More details on the actual contract traded.
49    /// `sample_returns_every_n_seconds`: How often to sample the user balances for computing the returns.
50    ///     Is used for computing for example the `sharpe` ratio or anything else that requires ln returns.
51    ///
52    /// # Returns:
53    /// Either a valid `Config` or an Error
54    pub fn new(
55        starting_balance: M,
56        max_num_open_orders: usize,
57        contract_specification: ContractSpecification<M::PairedCurrency>,
58        sample_returns_every_n_seconds: u64,
59    ) -> Result<Self, ConfigError> {
60        if max_num_open_orders == 0 {
61            return Err(ConfigError::InvalidMaxNumOpenOrders);
62        }
63        if starting_balance <= M::new_zero() {
64            return Err(ConfigError::InvalidStartingBalance);
65        }
66
67        Ok(Config {
68            starting_wallet_balance: starting_balance,
69            max_num_open_orders,
70            contract_spec: contract_specification,
71            sample_returns_every_n_seconds,
72        })
73    }
74}
lfest/config.rs

lfest/
config.rs
