ROADMAP.md

Roadmap

Currently, the Rust implementation is being more actively developed especially for new features.

Python

• Rust implementation as the backend. (WIP: rust_backend branch)
  • https://numba.readthedocs.io/en/stable/user/cfunc.html#calling-c-code-from-numba
  • https://numba.readthedocs.io/en/stable/user/cfunc.html#handling-c-structures
  • https://numba.readthedocs.io/en/stable/extending/index.html
  • https://github.com/callahad/python-rust-ffi
  • https://github.com/pyo3/pyo3
• Improve performance reporting tools.
  • https://github.com/ranaroussi/quantstats
  • https://www.prestolabs.io/research/optimizing-risk-adjusted-return-in-constructing-portfolios-of-alphas

Rust

Backtesting

• Level 3 Market-By-Order backtesting (unstable_l3).
• Data fusion to provide the most frequent and granular data using different streams with different update frequencies and market depth ranges (unstable_fuse)
• Adjust feed and order latency for exchanges located in different regions if the original feed and order latency data was collected at a different site.

Connector

• Implement Binance Futures Websocket Order APIs; currently, REST APIs are used for submitting orders.
  • https://developers.binance.com/docs/derivatives/usds-margined-futures/websocket-api-general-info
• Add Binance market depth management mode; currently, only natural refresh is supported.
• Binance COIN-m Futures/Spot/Options
  • https://developers.binance.com/docs/binance-spot-api-docs/README
  • https://developers.binance.com/docs/derivatives/coin-margined-futures/general-info
  • https://developers.binance.com/docs/derivatives/option/general-info
• Bybit (MVP)
  • https://bybit-exchange.github.io/docs/v5/intro
• OKX
  • https://www.okx.com/docs-v5/en/
• Coinbase
• Kraken
• CDC
• Databento for the data feed
  • https://databento.com/docs/api-reference-live
• Trad-fi

Others

• Support Level 3 Market-By-Order for Live Bot.
• Support external connectors through IPC for multiple bots via a unified connection.
  
  • https://github.com/eclipse-iceoryx/iceoryx2
• Increase documentation and test coverage.
• Github workflow
  • readthedocs, build, formatting, coverage, etc.
• Additional queue position model or exchange model.

Orchestration

• Implement interface for live bot orchestration
• Develop central orchestration app
• Integrate with Telegram

Examples

• Market making example using ARMA, ARIMA, or GARCH on the underlying asset.
• Example using different skew profiles for inventory management.
• Example demonstrating latency-aware actions.
• Example demonstrating the volume clock/event clock using wait_next_feed.