algo-trading

Algorithmic trading strategies and backtesting in Rust.

To obtain an access token, create an account at Tradier, then go to this page.

DISCLAIMER: This is a personal project and is not intended for production use. Use at your own risk. The author is not responsible for any financial losses incurred as a result of using this software.

Configuration

At present, only a very simple Bolinger Bands strategy is implemented.

Either modify config\default.toml or create config\local.toml to specify your account and trading information.

Example:

sandbox = true
hist_data_range = 20
backtest_range = 730

[[strategies]]
name = "mean-reversion"
symbols = ["AAPL", "AMZN"]
capital = [100000, 10000]

sandbox_token must be set, but a valid value is optional and only required if you are using the sandbox environment.

Building

cargo build is all you need.

Environment

The following environment variables must be set:

ACCESS_TOKEN SANDBOX_TOKEN ACCOUNT_ID MONGO_URL

(Environment rather than config for secrets per the 12-factor app methodology - although I use config for non-secret settings.)

Running Locally

./scripts/run.sh

or

cargo run --bin server

MongoDB

• Install locally: brew tap mongodb/brew && brew install mongodb-community
• Start: brew services start mongodb-community
• Shell: mongo

In the shell, execute use algo-trading to use the database. Queries on collections positions, orders, and pnl can then be made.

Alternatively, you can use a MongoDB Atlas instance - just set mongo_url to an appropriate connection string.

Note: A MongoDB Atlas connection string (MONGO_URL environment variable) should be of the form

mongodb://[username:password@]host1[:port1][,...hostN[:portN]][/[defaultauthdb][?options]]

Example:

export MONGO_URL="mongodb+srv://{username}:{password}@cluster0.31ie7.mongodb.net/?retryWrites=true&w=majority&appName=Cluster0"

Testing

cargo test requires the environment variables TRADIER_ACCESS_TOKEN, TRADIER_SANDBOX_TOKEN, and TRADIER_ACCOUNT_ID to be set.

Backtesting

./scripts/backtest.sh

or

cargo run --bin backtest

Output will include generated realized P&L and open positions.

Docker

To build the image for x86-64/AMD64, first run

rustup target add x86_64-unknown-linux-gnu

then build with

docker build --platform=linux/amd64 -t algo-trading .

or

docker build --platform linux/x86-64 -t algo-trading .

To tag for GCP Registry:

docker tag \
    algo-trading \
    us-central1-docker.pkg.dev/{project-id}/{repo-name}/algo-trading

And to push:

docker image push us-central1-docker.pkg.dev/{project-id}/{repo-name}/algo-trading:latest