market-maker-rs 0.1.2

A Rust library implementing quantitative market making strategies, starting with the Avellaneda-Stoikov model
Documentation

Dual License Crates.io Downloads Stars Issues PRs

Build Status Coverage Dependencies Documentation

Market Making Library

A Rust library implementing quantitative market making strategies, starting with the Avellaneda-Stoikov model. This library provides the mathematical foundations and domain models necessary for building automated market making systems for financial markets.

Overview

Market making is the practice of simultaneously providing buy (bid) and sell (ask) quotes in a financial market. The market maker profits from the bid-ask spread while providing liquidity to the market.

Key Challenges

  • Inventory Risk: Holding positions exposes the market maker to price movements
  • Adverse Selection: Informed traders may trade against you when they have better information
  • Optimal Pricing: Balance between execution probability and profitability

The Avellaneda-Stoikov Model

The Avellaneda-Stoikov model (2008) solves the optimal market making problem using stochastic control theory. It determines optimal bid and ask prices given:

  • Current market price and volatility
  • Current inventory position
  • Risk aversion
  • Time remaining in trading session
  • Order arrival dynamics

Modules

  • [strategy]: Pure mathematical calculations for quote generation
  • [position]: Inventory tracking and PnL management
  • [market_state]: Market data representation
  • [types]: Common types and error definitions
  • [prelude]: Convenient re-exports of commonly used types

Quick Start

Import commonly used types with the prelude:

use market_maker_rs::prelude::*;

Examples

Examples will be added once core functionality is implemented.

🛠 Makefile Commands

This project includes a Makefile with common tasks to simplify development. Here's a list of useful commands:

🔧 Build & Run

make build         # Compile the project
make release       # Build in release mode
make run           # Run the main binary

🧪 Test & Quality

make test          # Run all tests
make fmt           # Format code
make fmt-check     # Check formatting without applying
make lint          # Run clippy with warnings as errors
make lint-fix      # Auto-fix lint issues
make fix           # Auto-fix Rust compiler suggestions
make check         # Run fmt-check + lint + test

📦 Packaging & Docs

make doc           # Check for missing docs via clippy
make doc-open      # Build and open Rust documentation
make create-doc    # Generate internal docs
make readme        # Regenerate README using cargo-readme
make publish       # Prepare and publish crate to crates.io

📈 Coverage & Benchmarks

make coverage            # Generate code coverage report (XML)
make coverage-html       # Generate HTML coverage report
make open-coverage       # Open HTML report
make bench               # Run benchmarks using Criterion
make bench-show          # Open benchmark report
make bench-save          # Save benchmark history snapshot
make bench-compare       # Compare benchmark runs
make bench-json          # Output benchmarks in JSON
make bench-clean         # Remove benchmark data

🧪 Git & Workflow Helpers

make git-log             # Show commits on current branch vs main
make check-spanish       # Check for Spanish words in code
make zip                 # Create zip without target/ and temp files
make tree                # Visualize project tree (excludes common clutter)

🤖 GitHub Actions (via act)

make workflow-build      # Simulate build workflow
make workflow-lint       # Simulate lint workflow
make workflow-test       # Simulate test workflow
make workflow-coverage   # Simulate coverage workflow
make workflow            # Run all workflows

ℹ️ Requires act for local workflow simulation and cargo-tarpaulin for coverage.

Contribution and Contact

We welcome contributions to this project! If you would like to contribute, please follow these steps:

  1. Fork the repository.
  2. Create a new branch for your feature or bug fix.
  3. Make your changes and ensure that the project still builds and all tests pass.
  4. Commit your changes and push your branch to your forked repository.
  5. Submit a pull request to the main repository.

If you have any questions, issues, or would like to provide feedback, please feel free to contact the project maintainer:

Contact Information

We appreciate your interest and look forward to your contributions!

License: MIT