Trading backtester

A highly customizable framework designed for parallel tuning of trading algorithms by reproducing and simulating the trading history of exchanges and the behaviour of brokers.

It aims to provide a complete set of interfaces needed to simulate and optimize trading and investing algorithms at any level of precision: from the level of intra-exchange messages to the level of price chart trading.

This project is committed to achieving:

The highest possible execution speed, which is available through AOT compilation that runs directly to native code, low runtime, and great rustc and LLVM optimization abilities.
Low probability of making critical errors, which is achieved by Rust's strong type system and borrowing rules that prevent the vast majority of erroneous programs from compiling.
High speed of writing custom code. This goal is achieved through the relatively simple syntax of the Rust language, which makes it no more complicated than that of C#.

Usage

Put this in your Cargo.toml:

[dependencies]
trading_backtester = { path = "???", features = ["???"] }

where path should point to the location of the trading_backtester library, and features should consist of the available ones (or may not be set).

Features

The following features are available for enabling. Each of them provides access to:

concrete

Concrete examples of entities that implement traits from the interface module.
enum_def

The macro that generates an enum that can contain each of the listed types as a unique enum variant. Simplifies the creation of statically dispatched trait objects.
enum_dispatch

Derive macros for statically dispatched trait objects from the interface module. Convenient to use with the enum_def.
multithread

Utilities for running backtesters in multiple threads.

Overview

General workflow

Kernel


Kernel message management system