Merge pull request calumrussell#79 from calumrussell/refactor-once-more

Refactor once more

Cargo.toml

@@ -1,41 +1,7 @@
-[package]
-name = "rotala"
-version = "0.4.1"
-edition = "2021"
-authors = ["Calum Russell <[email protected]>"]
-license-file = "LICENCE"
-description = "JSON server exchange and library for backtesting trading strategies"
-repository = "https://github.com/calumrussell/alator"
-readme = "README.md"
+[workspace]
 
-[dependencies]
-actix-web = "4"
-time = { version = "0.3.17", features = ["macros", "parsing"] }
-rand = "0.8.4"
-rand_distr = "0.4.1"
-reqwest = { version = "0.12.4", features=["blocking", "json"] }
-zip = "2.1.3"
-csv = "1.1.6"
-serde = { version = "1.0.193", features = ["derive"] }
-serde_json = "1.0.108"
-env_logger = "0.11.0"
-tokio = { version = "1.35.1", features = ["full"] }
-derive_more = "0.99.17"
-
-[dev-dependencies]
-criterion = { version="0.5.1", features= ["async_tokio"] }
-
-[[bin]]
-name = "uist_server_v1"
-path = "./src/bin/uist_server_v1.rs"
-
-[[bin]]
-name = "jura_server_v1"
-path = "./src/bin/jura_server_v1.rs"
-
-[lib]
-bench = false
-
-[[bench]]
-name = "sim_orderbook"
-harness = false
+resolver = "2"
+members = [
+    "rotala",
+    "example_clients/alator"
+]

examples/alator/Cargo.toml → example_clients/alator/Cargo.toml

@@ -19,7 +19,7 @@ pyo3 = { version = "0.20.0", optional = true }
 async-trait = "0.1.73"
 tokio = { version = "1.32.0", features = ["full"] }
 futures = "0.3.28"
-rotala = { version = "0.1.0" }
+rotala = { path = "../../rotala/" }
 
 [dev-dependencies]
 reqwest = { version = "0.11.11", features=["blocking"] }

example_clients/alator/benches/sim_benchmark.rs

@@ -0,0 +1,73 @@
+use alator::broker::uist::UistBrokerBuilder;
+use alator::broker::{BrokerCost, CashOperations, SendOrder, Update};
+use criterion::{criterion_group, criterion_main, Criterion};
+use std::collections::HashMap;
+
+use alator::strategy::staticweight::StaticWeightStrategyBuilder;
+use rotala::http::uist::uistv1_client::{TestClient, UistClient};
+use rotala::input::penelope::Penelope;
+
+async fn full_backtest_random_data() {
+    let source = Penelope::random(100, vec!["ABC", "BCD"]);
+
+    let initial_cash = 100_000.0;
+
+    let mut weights = HashMap::new();
+    weights.insert("ABC".to_string(), 0.5);
+    weights.insert("BCD".to_string(), 0.5);
+
+    let mut client = TestClient::single("Random", source);
+    let resp = client.init("Random".to_string()).await.unwrap();
+
+    let simbrkr = UistBrokerBuilder::new()
+        .with_client(client, resp.backtest_id)
+        .with_trade_costs(vec![BrokerCost::Flat(1.0)])
+        .build()
+        .await;
+
+    let mut strat = StaticWeightStrategyBuilder::new()
+        .with_brkr(simbrkr)
+        .with_weights(weights)
+        .default();
+
+    strat.init(&initial_cash);
+    strat.run().await;
+}
+
+async fn trade_execution_logic() {
+    let mut source = Penelope::new();
+    source.add_quote(100.00, 101.00, 100, "ABC");
+    source.add_quote(10.00, 11.00, 100, "BCD");
+    source.add_quote(100.00, 101.00, 101, "ABC");
+    source.add_quote(10.00, 11.00, 101, "BCD");
+    source.add_quote(104.00, 105.00, 102, "ABC");
+    source.add_quote(10.00, 11.00, 102, "BCD");
+    source.add_quote(104.00, 105.00, 103, "ABC");
+    source.add_quote(12.00, 13.00, 103, "BCD");
+
+    let mut client = TestClient::single("Random", source);
+    let resp = client.init("Random".to_string()).await.unwrap();
+
+    let mut brkr = UistBrokerBuilder::new()
+        .with_client(client, resp.backtest_id)
+        .build()
+        .await;
+
+    brkr.deposit_cash(&100_000.0);
+    brkr.send_order(rotala::exchange::uist_v1::Order::market_buy("ABC", 100.0));
+    brkr.send_order(rotala::exchange::uist_v1::Order::market_buy("BCD", 100.0));
+
+    brkr.check().await;
+
+    brkr.check().await;
+
+    brkr.check().await;
+}
+
+fn benchmarks(c: &mut Criterion) {
+    c.bench_function("full backtest", |b| b.iter(full_backtest_random_data));
+    c.bench_function("trade test", |b| b.iter(trade_execution_logic));
+}
+
+criterion_group!(benches, benchmarks);
+criterion_main!(benches);