Leveraged Futures Exchange for Simulated Trading (LFEST)

☢️ This is a personal project, use a your own risk.

lfest-rs is a simulated perpetual futures exchange capable of leveraged positions.
You fed it external market data through the MarketUpdate enum to update the MarketState. Where you either provide bid and ask price or information derived from a candle.
Macros (bba, candle) make it easy to construct the concrete variant.
For simplicity's sake (and performance) the exchange does not use an order book.
The exchange can be configured using Config and ContractSpecification

Features:

• 💱 Fixed point arithmetic using fpdec crate, for super fast and precise numeric calculations.
• 🧠 Use of newtype pattern to enforce the correct types at function boundaries.
  Examples include:
  BaseCurrency,
  QuoteCurrency,
  Fee,
  Leverage.
  This makes it impossible to mistakenly input for example a USD denoted value into a function that expects a BTC denoted value.
• 📡 Flexible market data integration through the MarketUpdate type and associated macros.
• 💹 Integrated performance tracking.
  Use the existing FullAccountTracker
  or implement your own using the AccountTracker trait.
• ✔️ Broad test coverage, to get closer to ensured correctness.
• 🔍 Auditable due to its small and consice codebase. ~ 6k LOC
• 📃 Supports both linear and inverse futures contracts.
• ⛔ Order filtering to make sure the price and quantity follow certain rules. See:
  PriceFilter
QuantityFilter
• IsolatedMarginRiskEngine

Order Types

The supported order types are:

• Market: aggressively execute against the best bid / ask
• Limit: passively place an order into the orderbook

Performance Metrics:

The following performance metrics are available when using the FullTrack AccountTracker,
but you may define any performance metric by implementing the AccountTracker trait.

• win_ratio: wins / total_trades
• profit_loss_ratio: avg_win_amnt / avg_loss_amnt
• total_rpnl: Total realized profit and loss
• sharpe: The annualized sharpe ratio
• sortino: The annualized sortino ratio
• cumulative fees: Sum total of fees payed to the exchange
• max_drawdown_wallet_balance: Maximum fraction the wallet balance has decreased from its high.
• max_drawdown_total: Drawdown including unrealized profit and loss
• max_drawdown_duration: The duration of the longest drawdown
• num_trades: The total number of trades executed
• turnover: The total quantity executed
• trade_percentage: trades / total_trade_opportunities
• buy_ratio: buys / total_trades
• limit_order_fill_ratio
• limit_order_cancellation_ratio
• historical_value_at_risk
• cornish_fisher_value_at_risk
• d_ratio

There probably are some more metrics that I missed. Some of these metric may behave differently from what you would expect, so make sure to take a look at the code.

How to use

To use this crate in your project, add the following to your Cargo.toml:

[dependencies]
lfest = "0.42"

Then proceed to use it in your code. For an example see examples

TODOs:

• proper liquidations (see update_state in Exchange)
• Orderbook support (with MatchingEngine)
• Funding rate (support settle_funding_period in ClearingHouse)
• Multiple accounts (low priority)
• Multiple markets
• Portfolio RiskEngine for multiple markets
• Split out FullAccountTracker into smaller and easier to test units (Good first contribution).
• Support update_desired_leverage in Account
• CI pipeline on Github
• Support auto-deleveraging
• Make the user_order_id type in Order generic (eg. support both String and u64 for more user flexibility)

Contributions

If you have time available to contribute to the project, feel free to contact me and maybe we can arrange a mutually benefitial aggreement.

Donations 💰 💸

I you would like to support the development of this crate, feel free to send over a donation:

Monero (XMR) address:

47xMvxNKsCKMt2owkDuN1Bci2KMiqGrAFCQFSLijWLs49ua67222Wu3LZryyopDVPYgYmAnYkSZSz9ZW2buaDwdyKTWGwwb

License

Copyright (C) 2020 <Mathis Wellmann [email protected]>

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/.