golden

golden is all-in-one trading engine built with Rust.

There are many public algorithmic trading platforms like QuantConnect and JoinQuant for individual traders to learn, research, backtest and live-trading. However, we still need private algorithmic trading platform for many reasons such as strategy privacy, system stability and other customed features.

One of the well-known private trading libraries is Backtrader with Python, but the community is not active recently, because it hasn't been updated since Apr 19, 2023. I also built a simple project based on backtrader and ib_insync, but it still need a lot of work to do to meet real world trading requirements.

Inspired by backtrader, golden aims to build all-in-one trading engine supporting backtesting, analyzing, paper-trading and live-trading.

Why to use Rust

• As my first Rust practice project: Wonderful chance for me to learn Rust and write algorithmic trading system from scratch.
• Modern programming language: Rust is the modern programming language with a powerful package manager (cargo) and toolchain.
• High performance: Well-written Rust programs can perform as well as C/C++. [1]

Quick glance

On Linux:

Download csv data from yahoo finance: Backtest with a simple strategy: Paper trading with IBKR TWS

On Windows:

Download csv data from yahoo finance: Backtest with a simple strategy: Paper trading with IBKR TWS:

Quick Install

cargo install golden

Useful Commands

# download csv to data/
golden csv --symbol SPY

# backtest
golden backtest # use config.toml by default
golden backtest --config <path-to-config-file>

# paper trading
golden paper --broker ibkr

Project feature list

• Command Line Argument Parser
• Set configuration with a local toml file
• Set configuration with UI
• Publish it to crate.io
• Customed Strategy writing
• DB design

Backtest features list

• Single data feed
• Single strategy
• Download CSV data from yahoo finance
• Set time range while downloading data from Yahoo finance
• Load CSV data from local file
• Multiple data feed
• Multiple strategy
• Set time range in backtest
• Basic Indicators (such as SMA)
• More analyzer

Visualization feature list

• Create the basic layer
• Implement candlestick chart
• Implement line chart
• Add trading orders list
• Add side panel controller
• Add top menu bar
• Set window size and position
• Add benchmark
• Add more details

Paper trading & live trading feature list

• Single live broker: IBKR
• Live trading with single broker
• Risk module
• Online monitor module
• Remote deployment
• Multi-strategy system design

Reference

[1] https://rustmagazine.github.io/rust_magazine_2021/chapter_12/rust-perf.html