Trading algorithms in Rust
Traders use trading algorithms to execute trades in a systematic and automated manner, which can help to remove the emotions and subjectivity from the trading process. Trading algorithms can be used in a variety of contexts, including high-frequency trading, statistical arbitrage, and other forms of automated trading.
There are many different types of trading algorithms, including:
Trend-following algorithms: These algorithms are designed to identify and follow trends in financial markets.
Mean-reversion algorithms: These algorithms are designed to identify situations where the price of a financial instrument has moved away from its historical average and to trade in a way that profits from the eventual return to that average.
Arbitrage algorithms: These algorithms are designed to identify and exploit price discrepancies between different financial instruments or markets.
Portfolio optimization algorithms: These algorithms are designed to optimize the composition of a portfolio of financial instruments in order to maximize returns or minimize risk.
Risk management algorithms: These algorithms are designed to help traders manage risk by setting limits on the size of positions and the level of exposure to different financial instruments.
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| Trend |
| Follower |
| |
+------------+
|
| update(price)
|
v
+------------+
| |
| Moving |
| Average |
| |
+------------+
|
|
v
+------------+
| |
| Price |
| History |
| |
+------------+
|
|
v
+------------+
| |
| Criteria |
| for Buy |
| or Sell |
+------------+
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| should_buy(price)
| or should_sell(price)
v
+------------+
| |
| Trade |
| Decision |
| |
+------------+
+------------+
| |
| Mean |
| Reversion |
| Trader |
| |
+------------+
|
| update(price)
|
v
+------------+
| |
| Price |
| History |
| |
+------------+
|
|
v
+------------+
| |
| Mean |
| and |
| Std Dev |
| Calc. |
+------------+
|
|
v
+------------+
| |
| Criteria |
| for Buy |
| or Sell |
+------------+
|
| should_buy(price)
| or should_sell(price)
v
+------------+
| |
| Trade |
| Decision |
| |
+------------+ +------------+
| |
| Arbitrage |
| Trader |
| |
+------------+
|
| update_price(asset1, price1)
| update_price(asset2, price2)
|
v
+------------+
| |
| Prices |
| History |
| |
+------------+
|
|
v
+------------+
| |
| Criteria |
| for Buy |
| or Sell |
+------------+
|
| should_buy(asset1, asset2)
| or should_sell(asset1, asset2)
v
+------------+
| |
| Trade |
| Decision |
| |
+------------+ +------------+
| |
| Portfolio |
| Optimizer |
| |
+------------+
|
| update_expected_return(asset, expected_return)
| update_variance(asset, variance)
| update_holding(asset, holding)
|
v
+------------+
| |
| Expected |
| Returns |
| and |
| Variances |
| and |
| Holdings |
+------------+
|
|
v
+------------+
| |
| Risk |
| Tolerance |
| |
+------------+
|
| optimize()
|
v
+------------+
| |
| New |
| Holdings |
| |
+------------+ +------------+
| |
| Risk |
| Manager |
| |
+------------+
|
| set_max_position(asset, max_position)
| update_holding(asset, holding)
| update_market_value(asset, market_value)
|
v
+------------+
| |
| Max |
| Positions |
| and |
| Holdings |
| and |
| Market |
| Values |
+------------+
|
|
v
+------------+
| |
| Max |
| Market |
| Value |
+------------+
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| enforce_limits()
|
v
+------------+
| |
| New |
| Holdings |
| |
+------------+