rusty_backtest::engine

Trait Strategy

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pub trait Strategy: Send + Sync {
    // Required methods
    fn on_market_data(
        &mut self,
        symbol: &str,
        event: &MarketDataEvent,
        book: &OrderBook,
    );
    fn on_order_response(&mut self, response: &OrderResponse);
    fn on_timer(&mut self, timer_id: u64);
    fn get_orders(&mut self) -> SmallOrderVec<Order>;
    fn get_cancels(&mut self) -> SmallOrderVec<u64>;
}
Expand description

Strategy interface for L2 backtesting

Required Methods§

Source

fn on_market_data( &mut self, symbol: &str, event: &MarketDataEvent, book: &OrderBook, )

Called on market data update

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fn on_order_response(&mut self, response: &OrderResponse)

Called on order response

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fn on_timer(&mut self, timer_id: u64)

Called on timer event

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fn get_orders(&mut self) -> SmallOrderVec<Order>

Get pending order submissions

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fn get_cancels(&mut self) -> SmallOrderVec<u64>

Get pending order cancellations

Implementors§