ROADMAP.md

Roadmap

Python

• Rust implementation as the backend.
• Improve performance reporting tools.
  • https://github.com/ranaroussi/quantstats
  • https://www.prestolabs.io/research/optimizing-risk-adjusted-return-in-constructing-portfolios-of-alphas
• Add more performance metrics and visualization features to the reporting tool.
• Add live trading support.

Rust

Backtesting

• Level 3 Market-By-Order backtesting.
• Data fusion to provide the most frequent and granular data using different streams with different update frequencies and market depth ranges. feature: 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.
• Additional queue position model or exchange model.
• A vector-based implementation for fast L2 market depth within the specified ROI (range of interest).
• Add fee model: fee per trading value (current), fee per trading quantity, fee per trade, and different fees based on the direction. (@roykim98)
• Parallel loading: Load the next data set while backtesting is in progress.

Live

• Support Level 3 Market-By-Order for Live Bot.
• Support external connectors through IPC for multiple bots via a unified connection. (WIP: branch: ipc (PR-129))
  • https://github.com/eclipse-iceoryx/iceoryx2

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

• Increase documentation and test coverage.
• Github workflow: readthedocs, build, formatting, coverage, etc.

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.
• Example demonstrating the cross-market market-making.
• Fair value pricing from the perspectives of statistical arbitrage and optimal execution.
• Queue-position-based market making for large-tick assets.
• Update the existing examples to align with version 2.0.0.