Struct SimulatedExchange

pub struct SimulatedExchange {
    pub id: Venue,
    pub oms_type: OmsType,
    pub account_type: AccountType,
    pub base_currency: Option<Currency>,
    /* private fields */
}

Simulated exchange venue for realistic trading execution during backtesting.

The SimulatedExchange provides a comprehensive simulation of a trading venue, including order matching engines, account management, and realistic execution models. It maintains order books, processes market data, and executes trades with configurable latency and fill models to accurately simulate real market conditions during backtesting.

Key features:

• Multi-instrument order matching with realistic execution
• Configurable fee, fill, and latency models
• Support for various order types and execution options
• Account balance and position management
• Market data processing and order book maintenance
• Simulation modules for custom venue behaviors

Fields

id: Venue

oms_type: OmsType

account_type: AccountType

base_currency: Option<Currency>

Implementations

impl SimulatedExchange

pub fn new( venue: Venue, oms_type: OmsType, account_type: AccountType, starting_balances: Vec<Money>, base_currency: Option<Currency>, default_leverage: Decimal, leverages: HashMap<InstrumentId, Decimal>, modules: Vec<Box<dyn SimulationModule>>, cache: Rc<RefCell<Cache>>, clock: Rc<RefCell<dyn Clock>>, fill_model: FillModel, fee_model: FeeModelAny, book_type: BookType, latency_model: Option<LatencyModel>, frozen_account: Option<bool>, bar_execution: Option<bool>, reject_stop_orders: Option<bool>, support_gtd_orders: Option<bool>, support_contingent_orders: Option<bool>, use_position_ids: Option<bool>, use_random_ids: Option<bool>, use_reduce_only: Option<bool>, use_message_queue: Option<bool>, ) -> Result<Self>

Creates a new SimulatedExchange instance.

Errors

Returns an error if:

• starting_balances is empty.
• base_currency is Some but starting_balances contains multiple currencies.

pub fn register_client(&mut self, client: Rc<dyn ExecutionClient>)

pub fn set_fill_model(&mut self, fill_model: FillModel)

pub const fn set_latency_model(&mut self, latency_model: LatencyModel)

pub fn initialize_account(&mut self)

pub fn add_instrument(&mut self, instrument: InstrumentAny) -> Result<()>

Adds an instrument to the simulated exchange and initializes its matching engine.

Errors

Returns an error if the exchange account type is Cash and the instrument is a CryptoPerpetual or CryptoFuture.

Panics

Panics if the instrument cannot be added to the exchange.

pub fn best_bid_price(&self, instrument_id: InstrumentId) -> Option<Price>

pub fn best_ask_price(&self, instrument_id: InstrumentId) -> Option<Price>

pub fn get_book(&self, instrument_id: InstrumentId) -> Option<&OrderBook>

pub fn get_matching_engine( &self, instrument_id: &InstrumentId, ) -> Option<&OrderMatchingEngine>

pub const fn get_matching_engines( &self, ) -> &HashMap<InstrumentId, OrderMatchingEngine>

pub fn get_books(&self) -> HashMap<InstrumentId, OrderBook>

pub fn get_open_orders( &self, instrument_id: Option<InstrumentId>, ) -> Vec<PassiveOrderAny>

pub fn get_open_bid_orders( &self, instrument_id: Option<InstrumentId>, ) -> Vec<PassiveOrderAny>

pub fn get_open_ask_orders( &self, instrument_id: Option<InstrumentId>, ) -> Vec<PassiveOrderAny>

pub fn get_account(&self) -> Option<AccountAny>

Panics

Panics if retrieving the account from the execution client fails.

pub fn adjust_account(&mut self, adjustment: Money)

Panics

Panics if generating account state fails during adjustment.

pub fn send(&mut self, command: TradingCommand)

pub fn generate_inflight_command( &mut self, command: &TradingCommand, ) -> (UnixNanos, u32)

Panics

Panics if the command is invalid when generating inflight command.

pub fn process_order_book_delta(&mut self, delta: OrderBookDelta)

Panics

Panics if adding a missing instrument during delta processing fails.

pub fn process_order_book_deltas(&mut self, deltas: OrderBookDeltas)

Panics

Panics if adding a missing instrument during deltas processing fails.

pub fn process_quote_tick(&mut self, quote: &QuoteTick)

Panics

Panics if adding a missing instrument during quote tick processing fails.

pub fn process_trade_tick(&mut self, trade: &TradeTick)

Panics

Panics if adding a missing instrument during trade tick processing fails.

pub fn process_bar(&mut self, bar: Bar)

Panics

Panics if adding a missing instrument during bar processing fails.

pub fn process_instrument_status(&mut self, status: InstrumentStatus)

Panics

Panics if adding a missing instrument during instrument status processing fails.

pub fn process(&mut self, ts_now: UnixNanos)

Panics

Panics if popping an inflight command fails during processing.

pub fn reset(&mut self)

pub fn process_trading_command(&mut self, command: TradingCommand)

Panics

Panics if execution client is uninitialized when processing trading command.

pub fn generate_fresh_account_state(&self)

Panics

Panics if generating fresh account state fails.

Trait Implementations

impl Debug for SimulatedExchange

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.