Merge pull request #84 from nkaz001/level3_mbo

Level3 mbo
nkaz001 · Jun 17, 2024 · 3ba7b62 · 3ba7b62
2 parents 81960b4 + 87a6ae5
commit 3ba7b62
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Showing 17 changed files with 256 additions and 103 deletions.
diff --git a/rust/examples/algo.rs b/rust/examples/algo.rs
@@ -2,7 +2,7 @@ use std::{collections::HashMap, fmt::Debug};
 
 use hftbacktest::prelude::*;
 
-pub fn gridtrading<Q, MD, I, R>(
+pub fn gridtrading<MD, I, R>(
     hbt: &mut I,
     recorder: &mut R,
     relative_half_spread: f64,
@@ -13,10 +13,9 @@ pub fn gridtrading<Q, MD, I, R>(
     max_position: f64,
 ) -> Result<(), i64>
 where
-    Q: Sized + Clone,
     MD: MarketDepth,
-    I: Interface<Q, MD>,
-    <I as Interface<Q, MD>>::Error: Debug,
+    I: Interface + BotTypedDepth<MD>,
+    <I as Interface>::Error: Debug,
     R: Recorder,
     <R as Recorder>::Error: Debug,
 {
@@ -30,7 +29,7 @@ where
             recorder.record(hbt).unwrap();
         }
 
-        let depth = hbt.depth(0);
+        let depth = hbt.depth_typed(0);
         let position = hbt.position(0);
 
         if depth.best_bid_tick() == INVALID_MIN || depth.best_ask_tick() == INVALID_MAX {

diff --git a/rust/examples/gridtrading_backtest.rs b/rust/examples/gridtrading_backtest.rs
@@ -17,7 +17,7 @@ use hftbacktest::{
 
 mod algo;
 
-fn prepare_backtest() -> MultiAssetMultiExchangeBacktest<QueuePos, HashMapMarketDepth> {
+fn prepare_backtest() -> MultiAssetMultiExchangeBacktest<HashMapMarketDepth> {
     let latency_data = (20240501..20240532)
         .map(|date| DataSource::File(format!("latency_{date}.npz")))
         .collect();

diff --git a/rust/examples/gridtrading_backtest_args.rs b/rust/examples/gridtrading_backtest_args.rs
@@ -1,15 +1,16 @@
-use algo::gridtrading;
 use clap::Parser;
+
+use algo::gridtrading;
 use hftbacktest::{
     backtest::{
-        assettype::LinearAsset,
-        models::{IntpOrderLatency, PowerProbQueueFunc3, ProbQueueModel, QueuePos},
-        reader::read_npz,
-        recorder::BacktestRecorder,
         AssetBuilder,
+        assettype::LinearAsset,
         DataSource,
         ExchangeKind,
+        models::{IntpOrderLatency, PowerProbQueueFunc3, ProbQueueModel},
         MultiAssetMultiExchangeBacktest,
+        reader::read_npz,
+        recorder::BacktestRecorder,
     },
     prelude::{ApplySnapshot, HashMapMarketDepth, Interface},
 };
@@ -59,7 +60,7 @@ fn prepare_backtest(
     lot_size: f32,
     maker_fee: f64,
     taker_fee: f64,
-) -> MultiAssetMultiExchangeBacktest<QueuePos, HashMapMarketDepth> {
+) -> MultiAssetMultiExchangeBacktest<HashMapMarketDepth> {
     let latency_model = IntpOrderLatency::new(
         latency_files
             .iter()

diff --git a/rust/src/backtest/backtest.rs b/rust/src/backtest/backtest.rs
@@ -1,4 +1,4 @@
-use std::{collections::HashMap, marker::PhantomData};
+use std::{any::Any, collections::HashMap, marker::PhantomData};
 
 use crate::{
     backtest::{
@@ -8,8 +8,9 @@ use crate::{
         BacktestError,
     },
     depth::{HashMapMarketDepth, MarketDepth},
-    prelude::OrderRequest,
+    prelude::{BotTypedDepth, OrderRequest},
     types::{
+        BotTypedTrade,
         BuildError,
         Event,
         Interface,
@@ -22,16 +23,21 @@ use crate::{
         WAIT_ORDER_RESPONSE_NONE,
     },
 };
+#[cfg(feature = "unstable_l3")]
+use crate::{
+    backtest::proc::GenLocalProcessor,
+    depth::L3MarketDepth
+};
 
 /// [`MultiAssetMultiExchangeBacktest`] builder.
 pub struct MultiAssetMultiExchangeBacktestBuilder<MD> {
-    local: Vec<Box<dyn LocalProcessor<MD>>>,
+    local: Vec<Box<dyn LocalProcessor<MD, Event>>>,
     exch: Vec<Box<dyn Processor>>,
 }
 
 impl<MD> MultiAssetMultiExchangeBacktestBuilder<MD> {
     /// Adds [`Asset`], which will undergo simulation within the backtester.
-    pub fn add(self, asset: Asset<dyn LocalProcessor<MD>, dyn Processor>) -> Self {
+    pub fn add(self, asset: Asset<dyn LocalProcessor<MD, Event>, dyn Processor>) -> Self {
         let mut self_ = Self { ..self };
         self_.local.push(asset.local);
         self_.exch.push(asset.exch);
@@ -59,7 +65,7 @@ impl<MD> MultiAssetMultiExchangeBacktestBuilder<MD> {
 pub struct MultiAssetMultiExchangeBacktest<MD> {
     cur_ts: i64,
     evs: EventSet,
-    local: Vec<Box<dyn LocalProcessor<MD>>>,
+    local: Vec<Box<dyn LocalProcessor<MD, Event>>>,
     exch: Vec<Box<dyn Processor>>,
 }
 
@@ -74,7 +80,7 @@ where
         }
     }
 
-    pub fn new(local: Vec<Box<dyn LocalProcessor<MD>>>, exch: Vec<Box<dyn Processor>>) -> Self {
+    pub fn new(local: Vec<Box<dyn LocalProcessor<MD, Event>>>, exch: Vec<Box<dyn Processor>>) -> Self {
         let num_assets = local.len();
         if local.len() != num_assets || exch.len() != num_assets {
             panic!();
@@ -199,7 +205,7 @@ where
     }
 }
 
-impl<MD> Interface<MD> for MultiAssetMultiExchangeBacktest<MD>
+impl<MD> Interface for MultiAssetMultiExchangeBacktest<MD>
 where
     MD: MarketDepth,
 {
@@ -225,15 +231,18 @@ where
         self.local.get(asset_no).unwrap().state_values()
     }
 
-    #[inline]
-    fn depth(&self, asset_no: usize) -> &MD {
-        &self.local.get(asset_no).unwrap().depth()
+    fn depth(&self, asset_no: usize) -> &dyn MarketDepth {
+        self.local.get(asset_no).unwrap().depth()
     }
 
-    #[inline]
-    fn trade(&self, asset_no: usize) -> &Vec<Event> {
-        let local = self.local.get(asset_no).unwrap();
-        local.trade()
+    fn trade(&self, asset_no: usize) -> Vec<&dyn Any> {
+        self.local
+            .get(asset_no)
+            .unwrap()
+            .trade()
+            .iter()
+            .map(|ev| ev as &dyn Any)
+            .collect()
     }
 
     #[inline]
@@ -505,6 +514,27 @@ where
     }
 }
 
+impl<MD> BotTypedDepth<MD> for MultiAssetMultiExchangeBacktest<MD>
+where
+    MD: MarketDepth,
+{
+    #[inline]
+    fn depth_typed(&self, asset_no: usize) -> &MD {
+        &self.local.get(asset_no).unwrap().depth()
+    }
+}
+
+impl<MD> BotTypedTrade<Event> for MultiAssetMultiExchangeBacktest<MD>
+where
+    MD: MarketDepth,
+{
+    #[inline]
+    fn trade_typed(&self, asset_no: usize) -> &Vec<Event> {
+        let local = self.local.get(asset_no).unwrap();
+        local.trade()
+    }
+}
+
 /// `MultiAssetSingleExchangeBacktest` builder.
 pub struct MultiAssetSingleExchangeBacktestBuilder<Local, Exchange> {
     local: Vec<Local>,
@@ -513,7 +543,7 @@ pub struct MultiAssetSingleExchangeBacktestBuilder<Local, Exchange> {
 
 impl<Local, Exchange> MultiAssetSingleExchangeBacktestBuilder<Local, Exchange>
 where
-    Local: LocalProcessor<HashMapMarketDepth> + 'static,
+    Local: LocalProcessor<HashMapMarketDepth, Event> + 'static,
     Exchange: Processor + 'static,
 {
     /// Adds [`Asset`], which will undergo simulation within the backtester.
@@ -558,7 +588,7 @@ pub struct MultiAssetSingleExchangeBacktest<MD, Local, Exchange> {
 impl<MD, Local, Exchange> MultiAssetSingleExchangeBacktest<MD, Local, Exchange>
 where
     MD: MarketDepth,
-    Local: LocalProcessor<MD>,
+    Local: LocalProcessor<MD, Event>,
     Exchange: Processor,
 {
     pub fn builder() -> MultiAssetSingleExchangeBacktestBuilder<Local, Exchange> {
@@ -688,10 +718,10 @@ where
     }
 }
 
-impl<MD, Local, Exchange> Interface<MD> for MultiAssetSingleExchangeBacktest<MD, Local, Exchange>
+impl<MD, Local, Exchange> Interface for MultiAssetSingleExchangeBacktest<MD, Local, Exchange>
 where
     MD: MarketDepth,
-    Local: LocalProcessor<MD>,
+    Local: LocalProcessor<MD, Event>,
     Exchange: Processor,
 {
     type Error = BacktestError;
@@ -716,15 +746,18 @@ where
         self.local.get(asset_no).unwrap().state_values()
     }
 
-    #[inline]
-    fn depth(&self, asset_no: usize) -> &MD {
-        &self.local.get(asset_no).unwrap().depth()
+    fn depth(&self, asset_no: usize) -> &dyn MarketDepth {
+        self.local.get(asset_no).unwrap().depth()
     }
 
-    #[inline]
-    fn trade(&self, asset_no: usize) -> &Vec<Event> {
-        let local = self.local.get(asset_no).unwrap();
-        local.trade()
+    fn trade(&self, asset_no: usize) -> Vec<&dyn Any> {
+        self.local
+            .get(asset_no)
+            .unwrap()
+            .trade()
+            .iter()
+            .map(|ev| ev as &dyn Any)
+            .collect()
     }
 
     #[inline]
@@ -996,3 +1029,28 @@ where
         self.local.get(asset_no).unwrap().order_latency()
     }
 }
+
+impl<MD, Local, Exchange> BotTypedDepth<MD> for MultiAssetSingleExchangeBacktest<MD, Local, Exchange>
+where
+    MD: MarketDepth,
+    Local: LocalProcessor<MD, Event>,
+    Exchange: Processor,
+{
+    #[inline]
+    fn depth_typed(&self, asset_no: usize) -> &MD {
+        &self.local.get(asset_no).unwrap().depth()
+    }
+}
+
+impl<MD, Local, Exchange> BotTypedTrade<Event> for MultiAssetSingleExchangeBacktest<MD, Local, Exchange>
+where
+    MD: MarketDepth,
+    Local: LocalProcessor<MD, Event>,
+    Exchange: Processor,
+{
+    #[inline]
+    fn trade_typed(&self, asset_no: usize) -> &Vec<Event> {
+        let local = self.local.get(asset_no).unwrap();
+        local.trade()
+    }
+}
diff --git a/rust/src/backtest/mod.rs b/rust/src/backtest/mod.rs
@@ -38,8 +38,8 @@ pub mod recorder;
 
 mod evs;
 
-#[cfg(features = "unstable_l3")]
-pub mod l3backtest;
+#[cfg(feature = "unstable_l3")]
+mod l3backtest;
 
 #[derive(Error, Debug)]
 pub enum BacktestError {
@@ -209,7 +209,7 @@ where
     }
 
     /// Builds an `Asset`.
-    pub fn build(self) -> Result<Asset<dyn LocalProcessor<MD>, dyn Processor>, BuildError> {
+    pub fn build(self) -> Result<Asset<dyn LocalProcessor<MD, Event>, dyn Processor>, BuildError> {
         let ob_local_to_exch = OrderBus::new();
         let ob_exch_to_local = OrderBus::new();
 

diff --git a/rust/src/backtest/models/mod.rs b/rust/src/backtest/models/mod.rs
@@ -2,7 +2,8 @@ mod latencies;
 mod queue;
 
 pub use latencies::{ConstantLatency, IntpOrderLatency, LatencyModel};
-
+#[cfg(feature = "unstable_l3")]
+pub use queue::{L3OrderId, L3OrderSource, L3QueueModel};
 pub use queue::{
     LogProbQueueFunc,
     LogProbQueueFunc2,
@@ -14,6 +15,3 @@ pub use queue::{
     QueuePos,
     RiskAdverseQueueModel,
 };
-
-#[cfg(feature = "unstable_l3")]
-pub use queue::{L3OrderId, L3OrderSource, L3QueueModel};
diff --git a/rust/src/backtest/models/queue.rs b/rust/src/backtest/models/queue.rs
@@ -1,6 +1,8 @@
-use std::{any::Any, marker::PhantomData};
-use std::collections::hash_map::Entry;
-use std::collections::HashMap;
+use std::{
+    any::Any,
+    collections::{hash_map::Entry, HashMap},
+    marker::PhantomData,
+};
 
 use crate::{
     backtest::BacktestError,
@@ -319,6 +321,7 @@ pub enum L3OrderSource {
     Backtesting,
 }
 
+#[cfg(feature = "unstable_l3")]
 impl AnyClone for L3OrderSource {
     fn as_any(&self) -> &dyn Any {
         self
@@ -531,11 +534,7 @@ impl L3QueueModel {
         Ok(())
     }
 
-    pub fn fill(
-        &mut self,
-        order_id: L3OrderId,
-        delete: bool,
-    ) -> Result<Vec<Order>, BacktestError> {
+    pub fn fill(&mut self, order_id: L3OrderId, delete: bool) -> Result<Vec<Order>, BacktestError> {
         let (side, order_price_tick) = self
             .orders
             .remove(&order_id)
@@ -550,7 +549,8 @@ impl L3QueueModel {
                 let mut i = 0;
                 while i < priority.len() {
                     let order_in_q = priority.get(i).unwrap();
-                    let order_source = order_in_q.q
+                    let order_source = order_in_q
+                        .q
                         .as_any()
                         .downcast_ref::<L3OrderSource>()
                         .unwrap();
@@ -581,7 +581,8 @@ impl L3QueueModel {
                 let mut i = 0;
                 while i < priority.len() {
                     let order_in_q = priority.get(i).unwrap();
-                    let order_source = order_in_q.q
+                    let order_source = order_in_q
+                        .q
                         .as_any()
                         .downcast_ref::<L3OrderSource>()
                         .unwrap();

diff --git a/rust/src/backtest/proc/l3_local.rs b/rust/src/backtest/proc/l3_local.rs
@@ -107,7 +107,7 @@ where
     }
 }
 
-impl<AT, LM, MD> LocalProcessor<MD> for L3Local<AT, LM, MD>
+impl<AT, LM, MD> LocalProcessor<MD, L3Event> for L3Local<AT, LM, MD>
 where
     AT: AssetType,
     LM: LatencyModel,
@@ -215,9 +215,8 @@ where
         &self.orders
     }
 
-    fn trade(&self) -> &Vec<Event> {
-        todo!()
-        // &self.trades
+    fn trade(&self) -> &Vec<L3Event> {
+        &self.trades
     }
 
     fn clear_last_trades(&mut self) {