refactor(rust): refactor in order to support l3 backtesting.

nkaz001 · Jun 17, 2024 · 8f1784b · 8f1784b
1 parent 3ba7b62
commit 8f1784b
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Showing 25 changed files with 655 additions and 127 deletions.
diff --git a/rust/Cargo.toml b/rust/Cargo.toml
@@ -1,6 +1,6 @@
 [package]
 name = "hftbacktest"
-version = "0.1.5"
+version = "0.2.0"
 edition = "2021"
 authors = ["nkaz001 <[email protected]>"]
 license = "MIT"

diff --git a/rust/examples/algo.rs b/rust/examples/algo.rs
@@ -14,8 +14,8 @@ pub fn gridtrading<MD, I, R>(
 ) -> Result<(), i64>
 where
     MD: MarketDepth,
-    I: Interface + BotTypedDepth<MD>,
-    <I as Interface>::Error: Debug,
+    I: Bot + BotTypedDepth<MD>,
+    <I as Bot>::Error: Debug,
     R: Recorder,
     <R as Recorder>::Error: Debug,
 {

diff --git a/rust/examples/gridtrading_backtest.rs b/rust/examples/gridtrading_backtest.rs
@@ -12,7 +12,7 @@ use hftbacktest::{
         ExchangeKind,
         MultiAssetMultiExchangeBacktest,
     },
-    prelude::{ApplySnapshot, HashMapMarketDepth, Interface},
+    prelude::{ApplySnapshot, HashMapMarketDepth, Bot},
 };
 
 mod algo;

diff --git a/rust/examples/gridtrading_backtest_args.rs b/rust/examples/gridtrading_backtest_args.rs
@@ -12,7 +12,7 @@ use hftbacktest::{
         reader::read_npz,
         recorder::BacktestRecorder,
     },
-    prelude::{ApplySnapshot, HashMapMarketDepth, Interface},
+    prelude::{ApplySnapshot, HashMapMarketDepth, Bot},
 };
 
 mod algo;

diff --git a/rust/examples/gridtrading_live.rs b/rust/examples/gridtrading_live.rs
@@ -1,8 +1,8 @@
 use algo::gridtrading;
 use hftbacktest::{
     connector::binancefutures::{BinanceFutures, Endpoint},
-    live::{Bot, LoggingRecorder},
-    prelude::{HashMapMarketDepth, Interface},
+    live::{LiveBot, LoggingRecorder},
+    prelude::{HashMapMarketDepth, Bot},
 };
 
 mod algo;
@@ -11,7 +11,7 @@ const ORDER_PREFIX: &str = "prefix";
 const API_KEY: &str = "apikey";
 const SECRET: &str = "secret";
 
-fn prepare_live() -> Bot<HashMapMarketDepth> {
+fn prepare_live() -> LiveBot<HashMapMarketDepth> {
     let binance_futures = BinanceFutures::builder()
         .endpoint(Endpoint::Testnet)
         .api_key(API_KEY)
@@ -20,7 +20,7 @@ fn prepare_live() -> Bot<HashMapMarketDepth> {
         .build()
         .unwrap();
 
-    let mut hbt = Bot::builder()
+    let mut hbt = LiveBot::builder()
         .register("binancefutures", binance_futures)
         .add("binancefutures", "1000SHIBUSDT", 0.000001, 1.0)
         .depth(|asset| HashMapMarketDepth::new(asset.tick_size, asset.lot_size))

diff --git a/rust/examples/live_order_error_handling.rs b/rust/examples/live_order_error_handling.rs
@@ -2,8 +2,8 @@ use algo::gridtrading;
 use chrono::Utc;
 use hftbacktest::{
     connector::binancefutures::{BinanceFutures, BinanceFuturesError, Endpoint},
-    live::{Bot, BotError, LoggingRecorder},
-    prelude::{ErrorKind, HashMapMarketDepth, Interface},
+    live::{LiveBot, BotError, LoggingRecorder},
+    prelude::{ErrorKind, HashMapMarketDepth, Bot},
 };
 use tracing::{error, info};
 
@@ -13,7 +13,7 @@ const ORDER_PREFIX: &str = "prefix";
 const API_KEY: &str = "apikey";
 const SECRET: &str = "secret";
 
-fn prepare_live() -> Bot<HashMapMarketDepth> {
+fn prepare_live() -> LiveBot<HashMapMarketDepth> {
     let binance_futures = BinanceFutures::builder()
         .endpoint(Endpoint::Testnet)
         .api_key(API_KEY)
@@ -22,7 +22,7 @@ fn prepare_live() -> Bot<HashMapMarketDepth> {
         .build()
         .unwrap();
 
-    let mut hbt = Bot::builder()
+    let mut hbt = LiveBot::builder()
         .register("binancefutures", binance_futures)
         .add("binancefutures", "SOLUSDT", 0.001, 1.0)
         .error_handler(|error| {

diff --git a/rust/examples/logging_order_latency.rs b/rust/examples/logging_order_latency.rs
@@ -2,8 +2,8 @@ use algo::gridtrading;
 use chrono::Utc;
 use hftbacktest::{
     connector::binancefutures::{BinanceFutures, Endpoint},
-    live::{Bot, LoggingRecorder},
-    prelude::{HashMapMarketDepth, Interface, Status},
+    live::{LiveBot, LoggingRecorder},
+    prelude::{HashMapMarketDepth, Bot, Status},
 };
 use tracing::info;
 
@@ -13,7 +13,7 @@ const ORDER_PREFIX: &str = "prefix";
 const API_KEY: &str = "apikey";
 const SECRET: &str = "secret";
 
-fn prepare_live() -> Bot<HashMapMarketDepth> {
+fn prepare_live() -> LiveBot<HashMapMarketDepth> {
     let binance_futures = BinanceFutures::builder()
         .endpoint(Endpoint::Public)
         .api_key(API_KEY)
@@ -22,7 +22,7 @@ fn prepare_live() -> Bot<HashMapMarketDepth> {
         .build()
         .unwrap();
 
-    let mut hbt = Bot::builder()
+    let mut hbt = LiveBot::builder()
         .register("binancefutures", binance_futures)
         .add("binancefutures", "SOLUSDT", 0.001, 1.0)
         .order_recv_hook(|req, resp| {

diff --git a/rust/src/backtest/backtest.rs b/rust/src/backtest/backtest.rs
@@ -13,7 +13,7 @@ use crate::{
         BotTypedTrade,
         BuildError,
         Event,
-        Interface,
+        Bot,
         OrdType,
         Order,
         Side,
@@ -205,7 +205,7 @@ where
     }
 }
 
-impl<MD> Interface for MultiAssetMultiExchangeBacktest<MD>
+impl<MD> Bot for MultiAssetMultiExchangeBacktest<MD>
 where
     MD: MarketDepth,
 {
@@ -718,7 +718,7 @@ where
     }
 }
 
-impl<MD, Local, Exchange> Interface for MultiAssetSingleExchangeBacktest<MD, Local, Exchange>
+impl<MD, Local, Exchange> Bot for MultiAssetSingleExchangeBacktest<MD, Local, Exchange>
 where
     MD: MarketDepth,
     Local: LocalProcessor<MD, Event>,