It's a dummy draft trading engine.
My way of the exploring Rust.
Event-driven architecture.
Naive implementation of this https://reasonabledeviations.com/2019/03/02/currency-arbitrage-graphs/ Takes commissions into account.
Makes some profits on the simulation (real price ticker and local execution). On the production execution only losses (probably latency/speed issue). Makes sense to try with colocation
- Binance SBE instead of Fix protocol
- Experiment. Streams on busy loop with CPU-Affinity vs async
- Implement Orderbook, OHLCV connectors.