mathiswellmann / lfest-rs

Leveraged Futures Exchange for Simulated Trading

Welcome 👋

I consider myself a Rust 🦀 and NixOS maximalist

"Mathematik ist die materialisierung von abstrakten Strukturen des Hyperraums"

Polkadot Blockchain Academy (Cambridge 2022) Graduate (Distinction)

My Open-Source Repositories Crates on lib.rs:

• 💰 TradeAggregation: A high performance, modular and flexible trade aggregation crate.
• 💱 LFEST Perpetual futures exchange for simulated trading
• ⛓️ Chainable Tree-like Sliding Features.
• 💹 EhlersIndicators: John Ehlers technical analysis indicators / Filters
• 🐸 Evolutionary Neural Network implementation called CoSyNE.
• 💪 gym-rs a pure Rust implementation of OpenAi's Gym environments.
• 📈 TimeSeriesGenerator for synthetic data generation.
• 🚰 reservoir_computer Reservoir computers on the CPU
• 📉 whittaker_smoother A perfect smoother

My Interests:

• Permissionless decentralized blockchain projects
• Algorithmic trading of cryptocurrencies using machine learning techniques
• Ricing Arch Linux with my personal config -> Actually nowadays nixos is the GOAT

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lfest-rs's Issues

[Feature proposal] Latency and funding rate

This is such a nice project. The code is so well constructed and easy to tweak / experiment with. Not to mention blazingly fast.

This proposal is mainly about latency. I believe that handling it would make the simulation significantly more realistic. As for the funding rate, well, it'd be a nice addition.

When the exchange receives an order, it'd only process it L ms later, where L follows some kind of a distribution. Likewise, letting T be the timestamp at which an order is executed, then the client wouldn't be aware of it until the current timestamp is greater than or equal to T+L. Note that as timestamps are monotonic, we can use binary search to find this timestamp.

What do you think? I would gladly try to make some PRs but I'm quite busy at the moment. Perhaps in the following weeks!