📈 Rust Hft Trading Engine

High-Frequency Trading Engine in Rust with order matching, market data processing, and risk management

English | Português

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English

🎯 Overview

Rust Hft Trading Engine is a production-grade Rust application that showcases modern software engineering practices including clean architecture, comprehensive testing, containerized deployment, and CI/CD readiness.

The codebase comprises 1,423 lines of source code organized across 13 modules, following industry best practices for maintainability, scalability, and code quality.

✨ Key Features

• 📈 Strategy Engine: Multiple trading strategy implementations with configurable parameters
• 🔄 Backtesting Framework: Historical data simulation with realistic market conditions
• 📊 Performance Analytics: Sharpe ratio, Sortino ratio, maximum drawdown, and more
• ⚡ Real-time Processing: Low-latency data processing optimized for market speed
• 🐳 Containerized: Docker support for consistent deployment
• 🏗️ Object-Oriented: 11 core classes with clean architecture

🏗️ Architecture

graph TB
    subgraph Data["📊 Market Data"]
        A[Data Feed]
        B[Historical Data]
    end
    
    subgraph Engine["⚙️ Analysis Engine"]
        C[Signal Generation]
        D[Strategy Logic]
        E[Risk Assessment]
    end
    
    subgraph Output["📈 Output"]
        F[Performance Metrics]
        G[Trade Signals]
        H[Reports]
    end
    
    A --> C
    B --> C
    C --> D --> E
    E --> F
    D --> G
    E --> H
    
    style Data fill:#e1f5fe
    style Engine fill:#f3e5f5
    style Output fill:#e8f5e9

classDiagram
    class MarketData
    class PriceLevel
    class OrderBook
    class MatchingEngine
    class RiskLimits
    class Quote
    class RiskManager
    class Order
    class Ticker
    class Trade
    MatchingEngine --> MarketData : uses
    MatchingEngine --> PriceLevel : uses
    MatchingEngine --> OrderBook : uses

🚀 Quick Start

Prerequisites

• Rust 1.75+ (via rustup)
• Cargo (included with Rust)

Installation

# Clone the repository
git clone https://github.com/galafis/rust-hft-trading-engine.git
cd rust-hft-trading-engine

# Build in release mode
cargo build --release

Running

# Run the application
cargo run --release

# Or run the binary directly
./target/release/rust_hft_trading_engine

📁 Project Structure

rust-hft-trading-engine/
├── benches/
│   └── order_matching.rs
├── examples/
│   └── advanced_trading.rs
├── src/          # Source code
│   ├── engine/
│   │   ├── matching_engine.rs
│   │   └── mod.rs
│   ├── models/        # Data models
│   │   ├── market_data.rs
│   │   ├── mod.rs
│   │   ├── order.rs
│   │   ├── orderbook.rs
│   │   └── trade.rs
│   ├── risk/
│   │   ├── mod.rs
│   │   └── risk_manager.rs
│   ├── lib.rs
│   └── main.rs
├── tests/         # Test suite
│   └── test_main.rs
├── Cargo.toml
├── Dockerfile
├── LICENSE
└── README.md

📊 Performance Metrics

The engine calculates comprehensive performance metrics:

| Metric | Description | Formula | |--------|-------------|---------| | Sharpe Ratio | Risk-adjusted return | (Rp - Rf) / σp | | Sortino Ratio | Downside risk-adjusted return | (Rp - Rf) / σd | | Max Drawdown | Maximum peak-to-trough decline | max(1 - Pt/Pmax) | | Win Rate | Percentage of profitable trades | Wins / Total | | Profit Factor | Gross profit / Gross loss | ΣProfit / ΣLoss | | Calmar Ratio | Return / Max Drawdown | CAGR / MDD | | VaR (95%) | Value at Risk | 5th percentile of returns | | Expected Shortfall | Conditional VaR | E[R | R < VaR] |

🛠️ Tech Stack

| Technology | Description | Role | |------------|-------------|------| | Rust | Core Language | Primary | | Docker | Containerization platform | Framework | | Tokio | Async runtime for Rust | Framework |

🤝 Contributing

Contributions are welcome! Please feel free to submit a Pull Request. For major changes, please open an issue first to discuss what you would like to change.

1. Fork the project
2. Create your feature branch (git checkout -b feature/AmazingFeature)
3. Commit your changes (git commit -m 'Add some AmazingFeature')
4. Push to the branch (git push origin feature/AmazingFeature)
5. Open a Pull Request

📄 License

This project is licensed under the MIT License - see the LICENSE file for details.

👤 Author

Gabriel Demetrios Lafis

• GitHub: @galafis
• LinkedIn: Gabriel Demetrios Lafis

---

Português

🎯 Visão Geral

Rust Hft Trading Engine é uma aplicação Rust de nível profissional que demonstra práticas modernas de engenharia de software, incluindo arquitetura limpa, testes abrangentes, implantação containerizada e prontidão para CI/CD.

A base de código compreende 1,423 linhas de código-fonte organizadas em 13 módulos, seguindo as melhores práticas do setor para manutenibilidade, escalabilidade e qualidade de código.

✨ Funcionalidades Principais

• 📈 Strategy Engine: Multiple trading strategy implementations with configurable parameters
• 🔄 Backtesting Framework: Historical data simulation with realistic market conditions
• 📊 Performance Analytics: Sharpe ratio, Sortino ratio, maximum drawdown, and more
• ⚡ Real-time Processing: Low-latency data processing optimized for market speed
• 🐳 Containerized: Docker support for consistent deployment
• 🏗️ Object-Oriented: 11 core classes with clean architecture

🏗️ Arquitetura

graph TB
    subgraph Data["📊 Market Data"]
        A[Data Feed]
        B[Historical Data]
    end
    
    subgraph Engine["⚙️ Analysis Engine"]
        C[Signal Generation]
        D[Strategy Logic]
        E[Risk Assessment]
    end
    
    subgraph Output["📈 Output"]
        F[Performance Metrics]
        G[Trade Signals]
        H[Reports]
    end
    
    A --> C
    B --> C
    C --> D --> E
    E --> F
    D --> G
    E --> H
    
    style Data fill:#e1f5fe
    style Engine fill:#f3e5f5
    style Output fill:#e8f5e9

🚀 Início Rápido

Prerequisites

• Rust 1.75+ (via rustup)
• Cargo (included with Rust)

Installation

# Clone the repository
git clone https://github.com/galafis/rust-hft-trading-engine.git
cd rust-hft-trading-engine

# Build in release mode
cargo build --release

Running

# Run the application
cargo run --release

# Or run the binary directly
./target/release/rust_hft_trading_engine

📁 Estrutura do Projeto

rust-hft-trading-engine/
├── benches/
│   └── order_matching.rs
├── examples/
│   └── advanced_trading.rs
├── src/          # Source code
│   ├── engine/
│   │   ├── matching_engine.rs
│   │   └── mod.rs
│   ├── models/        # Data models
│   │   ├── market_data.rs
│   │   ├── mod.rs
│   │   ├── order.rs
│   │   ├── orderbook.rs
│   │   └── trade.rs
│   ├── risk/
│   │   ├── mod.rs
│   │   └── risk_manager.rs
│   ├── lib.rs
│   └── main.rs
├── tests/         # Test suite
│   └── test_main.rs
├── Cargo.toml
├── Dockerfile
├── LICENSE
└── README.md

📊 Performance Metrics

The engine calculates comprehensive performance metrics:

| Metric | Description | Formula | |--------|-------------|---------| | Sharpe Ratio | Risk-adjusted return | (Rp - Rf) / σp | | Sortino Ratio | Downside risk-adjusted return | (Rp - Rf) / σd | | Max Drawdown | Maximum peak-to-trough decline | max(1 - Pt/Pmax) | | Win Rate | Percentage of profitable trades | Wins / Total | | Profit Factor | Gross profit / Gross loss | ΣProfit / ΣLoss | | Calmar Ratio | Return / Max Drawdown | CAGR / MDD | | VaR (95%) | Value at Risk | 5th percentile of returns | | Expected Shortfall | Conditional VaR | E[R | R < VaR] |

🛠️ Stack Tecnológica

| Tecnologia | Descrição | Papel | |------------|-----------|-------| | Rust | Core Language | Primary | | Docker | Containerization platform | Framework | | Tokio | Async runtime for Rust | Framework |

🤝 Contribuindo

Contribuições são bem-vindas! Sinta-se à vontade para enviar um Pull Request.

📄 Licença

Este projeto está licenciado sob a Licença MIT - veja o arquivo LICENSE para detalhes.

👤 Autor

Gabriel Demetrios Lafis

• GitHub: @galafis
• LinkedIn: Gabriel Demetrios Lafis