QATRADER-RS is a high-performance trading order management and execution system written in Rust. It serves as the core trading engine in the QAUTLRA ecosystem, handling order routing, execution, risk management, and position tracking.
- High-Performance Trading: Low-latency order execution with Rust
- Multiple Broker Support: Connect to various brokers and trading venues
- Event-Driven Architecture: Based on actor model for concurrent processing
- Risk Management: Pre-trade and post-trade risk checks
- Position Tracking: Real-time position and PnL monitoring
- WebSocket Integration: Real-time trading updates
- Message Queue Support: RabbitMQ for order flow and event processing
- QIFI Standard Support: Standard financial interface for cross-platform compatibility
- MongoDB Integration: Persistent storage of trading data and history
QATRADER-RS is built with a modular, event-driven architecture:
- Scheduler: Central coordinator for trading activities
- QATrader: Core trading engine implementing order management and execution
- QAEventMQ: Message queue interface for order flow and market events
- QAWebSocket: WebSocket client for real-time market data and order updates
- QAMongo: MongoDB interface for persistent storage
- Rust (latest stable version)
- MongoDB
- RabbitMQ
- Clone the repository:
git clone https://github.com/yutiansut/qatrader-rs.git
cd qatrader-rs-
Configure the system: Edit
conf/config.tomlto set up your trading environments. -
Build and run:
cargo build --release
cargo run --releaseAlternatively, generate a custom configuration:
python gen_toml.py --brokers broker1,broker2 --base_path /path/to/configQATrader-RS uses TOML configuration files to define trading behaviors and connections:
[common]
log_level = "info"
version = "1.0"
[account]
account_cookie = "YOUR_ACCOUNT"
password = "YOUR_PASSWORD"
broker_id = "YOUR_BROKER_ID"
td_server = "tcp://YOUR_SERVER:PORT"
appid = "YOUR_APP_ID"
auth_code = "YOUR_AUTH_CODE"
[websocket]
market_ws = "ws://localhost:8014/ws/market"
[mq]
uri = "amqp://admin:admin@localhost:5672"
exchange = "qaorder"
model = "fanout"
routing_key = ""QATRADER-RS provides a comprehensive order management API:
| Function | Description |
|---|---|
send_order |
Submit a new order to the market |
cancel_order |
Cancel an existing order |
amend_order |
Modify an existing order |
query_position |
Query current positions |
query_account |
Query account information |
query_orders |
Query order status and history |
query_trades |
Query executed trades |
The system communicates through predefined message formats:
{
"topic": "order",
"action": "send_order",
"account_cookie": "acc001",
"data": {
"instrument_id": "cu2109",
"exchange_id": "SHFE",
"price": 75000,
"volume": 1,
"direction": "BUY",
"offset": "OPEN"
}
}QATRADER-RS processes various trading events:
- Order Events: New order, order canceled, order rejected, etc.
- Trade Events: Order filled, partially filled
- Account Events: Deposit, withdrawal, margin changes
- Position Events: Position changes, mark-to-market updates
- Risk Events: Risk limit breaches, margin calls
QATRADER-RS integrates with the following components:
- QIFI-RS: For standardized financial interface definitions
- QAMDGATEWAY: For market data required in order decisions
- QAREALTIMEPRO-RS: For real-time market data analysis
- QADB-RS: For storing and retrieving historical trading data
- Order Latency: <1ms for order processing
- Throughput: Support for 1000+ orders per second
- Reliability: 99.99% uptime for critical trading functions
- Recovery: Fast recovery from connection or system failures
To add support for new brokers or trading venues:
- Create a new broker adapter in
src/adapters/ - Implement the required trading interfaces
- Add configuration support in
src/config.rs - Register the adapter in the main trading engine
Run the test suite:
cargo testFor integration testing with simulated markets:
cargo test --features="simulation"The examples directory contains sample code for common use cases:
- Basic order submission
- Multiple broker integration
- Risk management setup
- Position monitoring
- Algorithmic trading strategies
[License information]
Contributions are welcome! Please feel free to submit a Pull Request.
For questions or support, please contact [contact information].
websocket = "0.26.2"
uuid = { version = "0.8", features = ["serde", "v4"] }
# 序列化
regex = "1.3.6"
serde_json = "1.0"
serde_derive = "1.0"
serde = { version = "1.0", features = ["derive"] } # 序列化
#
mongodb = "0.9.1"
bson = "0.14.0"
amiquip = "0.3"
log = "0.4"
# 配置日志
clap = "2.33"
toml = "0.5"
log4rs="0.12"
env_logger = "0.7"
lazy_static = "1.4.0"
chrono = { version = "0.4", features = ["serde"] } # datetime
qifi-rs = {git="https://github.com/QUANTAXIS/qifi-rs.git"}
crossbeam-channel = "0.5.0"
如果需要编译:
rustup install nightly
cargo +nightly build
运行：
-
qatrader-rs.exe --account=xxxxx --password=xxxxx --broker=simnow --wsuri=ws://192.168.2.124:7988 --database_ip=mongodb://localhost:27017 --eventmq_ip=amqp://admin:admin@192.168.2.125:5672/ --log_level=debug -
qatrader-rs.exe -c conf\boot.tomlboot.toml
[common] account= "" password= "" broker= "simnow" wsuri= "ws://192.168.2.124:7988" eventmq_ip="amqp://admin:admin@192.168.2.125:5672/" database_ip="mongodb://localhost:27017" ping_gap=5 taskid="" portfolio="default" bank_password="" capital_password="" appid="" log_level="debug"
辅助运维脚本: gen_toml.py
python gen_toml.py --account_cookie 你的账户 --password 你的密码 --broker 你在 qatradeG 预设好的 broker --wsuri QAtradeG的 websocket --eventmq_ip 你下单的 rabbitmq 的 amqp 协议地址 --database_ip mongodb 协议地址
关于 BROKER,
- QUANTAXIS 是一个单独的本地 sim 账户, 他和正常的 simnow 功能完全一致, 在 simnow 失效的时候 你可以用这个账户来模拟 simnow
- simnow 是上期技术的官方 sim 账户
- 你自由配置的账户, 符合 CTP 接口即可(主席次席均支持) 具体查看 QATRADEG 的配置