ROADMAP.md

Roadmap

Currently, the Rust implementation is being more actively developed especially for new features.

Python

• Standardize data format to match the Rust implementation.
• Rust implementation as the backend.
• Improve performance reporting tools.

Rust

Backtesting

• Level 3 Market-By-Order backtesting (WIP).
• Data fusion to provide the most frequent and granular data using different streams with different update frequencies and market depth ranges.
• Support for writing Numpy compressed files and header checking.
• Adjust feed and order latency for exchanges located in different regions if the original feed and order latency data was collected at a different site.

Connector

• Implement Binance Futures Websocket Order APIs; currently, REST APIs are used for submitting orders.
• Add Binance market depth management mode; currently, only natural refresh is supported.
• Binance COIN-m Futures/Spot/Options
• Bybit (WIP)
• OKX
• Coinbase
• Kraken
• CDC
• Databento for the data feed
• Trad-fi

Others

• Support Level 3 Market-By-Order for Live Bot.
• Support external connectors through IPC for multiple bots via a unified connection.
  
• Increase documentation and test coverage.
• Github workflow.
• Additional queue position model or exchange model.

Orchestration

• Implement interface for live bot orchestration
• Develop central orchestration app
• Integrate with Telegram

Examples

• Market making example using ARMA, ARIMA, or GARCH on the underlying asset.
• Example using different skew profiles for inventory management.
• Example demonstrating latency-aware actions.
• Example demonstrating the volume clock/event clock using wait_next_feed.