rusty_strategy/
strategy.rs

1use std::sync::Arc;
2
3use anyhow::Result;
4use async_trait::async_trait;
5use rusty_common::collections::SmallSignalVec;
6use rusty_model::{
7    data::{
8        bar::Bar, book_snapshot::OrderBookSnapshot, market_trade::MarketTrade,
9        simd_orderbook::SharedSimdOrderBook,
10    },
11    instruments::InstrumentId,
12};
13
14use crate::signals::Signal;
15
16/// The Strategy trait defines the interface for all trading strategies.
17#[async_trait]
18pub trait Strategy: Send + Sync {
19    /// Returns the unique identifier for this strategy
20    fn id(&self) -> &str;
21
22    /// Returns a list of instruments that this strategy is interested in
23    fn instruments(&self) -> &[InstrumentId];
24
25    /// Processes a new trade event
26    ///
27    /// # Parameters
28    /// * `trade` - The trade event to process
29    ///
30    /// # Returns
31    /// A `SmallSignalVec` of signals generated by the strategy
32    async fn process_trade(&self, trade: MarketTrade) -> Result<SmallSignalVec<Signal>>;
33
34    /// Processes a new order book depth update
35    ///
36    /// # Parameters
37    /// * `depth` - The order book depth update to process
38    ///
39    /// # Returns
40    /// A `SmallSignalVec` of signals generated by the strategy
41    async fn process_depth(&self, depth: OrderBookSnapshot) -> Result<SmallSignalVec<Signal>>;
42
43    /// Processes a new bar (OHLCV) event
44    ///
45    /// # Parameters
46    /// * `bar` - The bar event to process
47    ///
48    /// # Returns
49    /// A `SmallSignalVec` of signals generated by the strategy
50    async fn process_bar(&self, bar: Bar) -> Result<SmallSignalVec<Signal>>;
51
52    /// Updates the strategy's internal state based on a shared SIMD order book
53    ///
54    /// # Parameters
55    /// * `order_book` - The shared SIMD order book to use for updating the strategy's state
56    ///
57    /// # Returns
58    /// A `SmallSignalVec` of signals generated by the strategy
59    async fn update_from_orderbook(
60        &self,
61        order_book: Arc<SharedSimdOrderBook>,
62    ) -> Result<SmallSignalVec<Signal>>;
63
64    /// Called periodically by the strategy engine to allow the strategy to perform time-based operations
65    ///
66    /// # Parameters
67    /// * `timestamp_ns` - The current timestamp in nanoseconds
68    ///
69    /// # Returns
70    /// A `SmallSignalVec` of signals generated by the strategy
71    async fn on_timer(&self, timestamp_ns: u64) -> Result<SmallSignalVec<Signal>>;
72
73    /// Initializes the strategy with required resources
74    ///
75    /// # Returns
76    /// `Ok(())` if initialization was successful, an error otherwise
77    async fn initialize(&self) -> Result<()>;
78
79    /// Shuts down the strategy and cleans up resources
80    ///
81    /// # Returns
82    /// `Ok(())` if shutdown was successful, an error otherwise
83    async fn shutdown(&self) -> Result<()>;
84}
rusty_strategy/strategy.rs

rusty_strategy/
strategy.rs
