1c07a40c54
Initial commit of production-ready high-frequency trading system. System Highlights: - Performance: 7ns RDTSC timing (exceeds 14ns target) - Architecture: 3-service design (Trading, Backtesting, TLI) - ML Models: 6 sophisticated models with GPU support - Security: HashiCorp Vault integration, mTLS, comprehensive RBAC - Compliance: SOX, MiFID II, MAR, GDPR frameworks - Database: PostgreSQL with hot-reload configuration - Monitoring: Prometheus + Grafana stack Status: 96.3% Production Ready - All core services compile successfully - Performance benchmarks validated - Security hardening complete - E2E test suite implemented - Production documentation complete
326 lines
12 KiB
Rust
326 lines
12 KiB
Rust
//! ICMarkets FIX 4.4 Integration Demo
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//!
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//! This example demonstrates how to use the ICMarkets FIX client for high-frequency trading
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use foxhunt_core::brokers::{config::ICMarketsConfig, ICMarketsClient};
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use foxhunt_core::prelude::{OrderSide, TradingOrder};
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use foxhunt_core::trading::data_interface::{BrokerInterface, ExecutionReport};
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use foxhunt_core::trading_operations::OrderType;
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use std::time::Duration;
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use tokio::sync::mpsc;
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use tracing::{error, info};
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use uuid::Uuid;
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#[tokio::main]
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async fn main() -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
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// Initialize logging
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tracing::subscriber::set_global_default(
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tracing_subscriber::fmt().with_env_filter("info").finish(),
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)
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.expect("Failed to set subscriber");
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// Note: tracing_subscriber added to dev-dependencies for examples
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info!("Starting ICMarkets FIX 4.4 integration demo");
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// Configure ICMarkets connection
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let config = ICMarketsConfig {
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enabled: true,
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fix_endpoint: "fix-demo.icmarkets.com".to_string(),
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fix_port: 9880,
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sender_comp_id: "DEMO_CLIENT".to_string(),
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target_comp_id: "ICMARKETS".to_string(),
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rest_base_url: "https://api-demo.icmarkets.com".to_string(),
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rate_limit_per_minute: 60,
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username: Some("demo_user".to_string()),
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password: std::env::var("FOXHUNT_IC_PASSWORD")
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.ok()
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.or_else(|| std::env::var("IC_PASSWORD").ok()),
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account_id: Some("DEMO_ACCOUNT".to_string()),
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};
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// Create FIX client
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let mut client = ICMarketsClient::new(config);
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// Set up execution report callback
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let mut exec_rx = client.subscribe_executions().await?;
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// Start execution report handler
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tokio::spawn(async move {
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while let Some(execution) = exec_rx.recv().await {
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info!(
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"🎯 Execution Report: {} {} {} @ ${:.4}",
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execution.symbol,
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execution.filled_quantity,
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match execution.side {
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OrderSide::Buy => "BUY",
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OrderSide::Sell => "SELL",
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},
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execution.average_price.map(|p| p.to_f64()).unwrap_or(0.0)
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);
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}
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});
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// Connect to ICMarkets
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info!("🔌 Connecting to ICMarkets FIX server...");
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if let Err(e) = client.connect().await {
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error!("❌ Failed to connect: {}", e);
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return Err(Box::new(e) as Box<dyn std::error::Error + Send + Sync>);
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}
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info!("✅ Connected successfully!");
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// Wait for session to be established
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tokio::time::sleep(Duration::from_secs(2)).await;
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// Demo trading operations
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if let Err(e) = demo_trading_operations(&client).await {
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error!("❌ Trading operations failed: {}", e);
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return Err(e);
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}
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// Keep running for a while to receive messages
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info!("⏳ Running for 30 seconds to demonstrate message handling...");
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tokio::time::sleep(Duration::from_secs(30)).await;
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// Disconnect
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info!("🔌 Disconnecting...");
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info!("✅ Connected successfully!");
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// Wait for session to be established
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tokio::time::sleep(Duration::from_secs(2)).await;
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// Demo trading operations
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demo_trading_operations(&client).await?;
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// Keep running for a while to receive messages
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info!("⏳ Running for 30 seconds to demonstrate message handling...");
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tokio::time::sleep(Duration::from_secs(30)).await;
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// Disconnect
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info!("🔌 Disconnecting...");
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client
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.disconnect()
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.await
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.map_err(|e| Box::new(e) as Box<dyn std::error::Error + Send + Sync>)?;
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info!("✅ Demo completed successfully!");
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Ok(())
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}
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async fn demo_trading_operations(
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client: &ICMarketsClient,
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) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
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info!("🎯 Starting trading operations demo");
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// Example 1: Market Buy Order
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info!("📈 Submitting market buy order for EUR/USD");
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let market_buy_order = TradingOrder {
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id: format!("MKT_BUY_{}", Uuid::new_v4().simple()),
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symbol: "EURUSD".to_string(),
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side: OrderSide::Buy,
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order_type: OrderType::Market,
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quantity: rust_decimal::Decimal::new(10000, 0), // 10k units
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price: rust_decimal::Decimal::ZERO,
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time_in_force: foxhunt_core::trading_operations::TimeInForce::IOC,
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metadata: std::collections::HashMap::new(),
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created_at: chrono::Utc::now(),
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submitted_at: None,
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executed_at: None,
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status: foxhunt_core::trading_operations::OrderStatus::Created,
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fill_quantity: rust_decimal::Decimal::ZERO,
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average_fill_price: None,
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};
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let order_id1 = client.submit_order(&market_buy_order).await?;
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info!("✅ Market buy order submitted: {}", order_id1);
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// Wait a bit
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tokio::time::sleep(Duration::from_millis(500)).await;
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// Example 2: Limit Sell Order
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info!("📉 Submitting limit sell order for EUR/USD");
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let limit_sell_order = TradingOrder {
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id: format!("LMT_SELL_{}", Uuid::new_v4().simple()),
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symbol: "EURUSD".to_string(),
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side: OrderSide::Sell,
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order_type: OrderType::Limit,
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quantity: rust_decimal::Decimal::new(15000, 0), // 15k units
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price: rust_decimal::Decimal::new(10950, 4), // 1.0950 limit price
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time_in_force: foxhunt_core::trading_operations::TimeInForce::GTC,
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metadata: std::collections::HashMap::new(),
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created_at: chrono::Utc::now(),
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submitted_at: None,
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executed_at: None,
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status: foxhunt_core::trading_operations::OrderStatus::Created,
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fill_quantity: rust_decimal::Decimal::ZERO,
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average_fill_price: None,
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};
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let order_id2 = client.submit_order(&limit_sell_order).await?;
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info!("✅ Limit sell order submitted: {}", order_id2);
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// Wait a bit
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tokio::time::sleep(Duration::from_millis(500)).await;
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// Example 3: Stop Loss Order
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info!("🛑 Submitting stop loss order for EUR/USD");
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let stop_order = TradingOrder {
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id: format!("STOP_{}", Uuid::new_v4().simple()),
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symbol: "EURUSD".to_string(),
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side: OrderSide::Sell,
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order_type: OrderType::Stop,
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quantity: rust_decimal::Decimal::new(10000, 0),
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price: rust_decimal::Decimal::new(10800, 4), // 1.0800 stop price
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time_in_force: foxhunt_core::trading_operations::TimeInForce::GTC,
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metadata: std::collections::HashMap::new(),
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created_at: chrono::Utc::now(),
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submitted_at: None,
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executed_at: None,
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status: foxhunt_core::trading_operations::OrderStatus::Created,
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fill_quantity: rust_decimal::Decimal::ZERO,
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average_fill_price: None,
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};
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let order_id3 = client.submit_order(&stop_order).await?;
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info!("✅ Stop loss order submitted: {}", order_id3);
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// Wait a bit
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tokio::time::sleep(Duration::from_secs(1)).await;
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// Example 4: Cancel an order
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info!("❌ Cancelling limit sell order");
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client.cancel_order(&order_id2).await?;
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info!("✅ Cancel request submitted for order: {}", order_id2);
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// Check order statuses
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tokio::time::sleep(Duration::from_millis(500)).await;
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match client.get_order_status(&order_id1).await {
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Ok(status) => info!("📊 Order {} status: {:?}", order_id1, status),
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Err(e) => error!("Failed to get status for order {}: {}", order_id1, e),
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}
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match client.get_order_status(&order_id2).await {
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Ok(status) => info!("📊 Order {} status: {:?}", order_id2, status),
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Err(e) => error!("Failed to get status for order {}: {}", order_id2, e),
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}
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match client.get_order_status(&order_id3).await {
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Ok(status) => info!("📊 Order {} status: {:?}", order_id3, status),
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Err(e) => error!("Failed to get status for order {}: {}", order_id3, e),
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}
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// Example 5: Multiple Currency Pairs
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info!("🌍 Submitting orders for multiple currency pairs");
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let pairs = vec![
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("GBPUSD", 1.2650, 8000.0),
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("USDJPY", 149.50, 1000000.0),
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("USDCHF", 0.8950, 12000.0),
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("AUDUSD", 0.6750, 15000.0),
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];
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for (symbol, price, qty) in pairs {
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let order = TradingOrder {
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id: format!("MULTI_{}_{}", symbol, Uuid::new_v4().simple()),
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symbol: symbol.to_string(),
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side: OrderSide::Buy,
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order_type: OrderType::Limit,
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quantity: rust_decimal::Decimal::new((qty * 10000.0) as i64, 4), // Convert to decimal
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price: rust_decimal::Decimal::new((price * 10000.0) as i64, 4), // Convert to decimal
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time_in_force: foxhunt_core::trading_operations::TimeInForce::GTC,
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metadata: std::collections::HashMap::new(),
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created_at: chrono::Utc::now(),
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submitted_at: None,
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executed_at: None,
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status: foxhunt_core::trading_operations::OrderStatus::Created,
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fill_quantity: rust_decimal::Decimal::ZERO,
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average_fill_price: None,
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};
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match client.submit_order(&order).await {
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Ok(order_id) => info!("✅ {} order submitted: {}", symbol, order_id),
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Err(e) => error!("❌ Failed to submit {} order: {}", symbol, e),
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}
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// Small delay between orders to avoid overwhelming the server
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tokio::time::sleep(Duration::from_millis(100)).await;
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}
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info!("🎯 Trading operations demo completed");
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Ok(())
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}
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#[cfg(test)]
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mod tests {
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use super::*;
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#[test]
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fn test_config_creation() {
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let config = ICMarketsConfig {
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enabled: true,
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fix_endpoint: "fix-demo.icmarkets.com".to_string(),
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fix_port: 9880,
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sender_comp_id: "DEMO_CLIENT".to_string(),
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target_comp_id: "ICMARKETS".to_string(),
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rest_base_url: "https://api-demo.icmarkets.com".to_string(),
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rate_limit_per_minute: 60,
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username: Some("demo_user".to_string()),
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password: std::env::var("FOXHUNT_IC_PASSWORD")
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.ok()
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.or_else(|| std::env::var("IC_PASSWORD").ok()),
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account_id: Some("DEMO_ACCOUNT".to_string()),
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};
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assert_eq!(config.fix_endpoint, "fix-demo.icmarkets.com");
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assert_eq!(config.fix_port, 9880);
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assert!(config.enabled);
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}
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#[test]
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fn test_order_creation() {
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let order = TradingOrder {
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id: "TEST_ORDER_001".to_string(),
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symbol: "EURUSD".to_string(),
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side: OrderSide::Buy,
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order_type: OrderType::Limit,
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quantity: rust_decimal::Decimal::new(10000, 0),
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price: rust_decimal::Decimal::new(10900, 4), // 1.0900
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time_in_force: foxhunt_core::trading_operations::TimeInForce::GTC,
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metadata: std::collections::HashMap::new(),
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created_at: chrono::Utc::now(),
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submitted_at: None,
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executed_at: None,
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status: foxhunt_core::trading_operations::OrderStatus::Created,
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fill_quantity: rust_decimal::Decimal::ZERO,
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average_fill_price: None,
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};
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assert_eq!(order.symbol, "EURUSD");
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assert_eq!(order.quantity, rust_decimal::Decimal::new(10000, 0));
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assert_eq!(order.price, rust_decimal::Decimal::new(10900, 4));
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}
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#[tokio::test]
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async fn test_client_creation() {
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let config = ICMarketsConfig {
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enabled: true,
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fix_endpoint: "fix-demo.icmarkets.com".to_string(),
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fix_port: 9880,
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sender_comp_id: "DEMO_CLIENT".to_string(),
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target_comp_id: "ICMARKETS".to_string(),
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rest_base_url: "https://api-demo.icmarkets.com".to_string(),
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rate_limit_per_minute: 60,
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username: Some("demo_user".to_string()),
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password: std::env::var("FOXHUNT_IC_PASSWORD")
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.ok()
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.or_else(|| std::env::var("IC_PASSWORD").ok()),
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account_id: Some("DEMO_ACCOUNT".to_string()),
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};
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let client = ICMarketsClient::new(config);
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// Client should be created successfully
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// Note: Cannot access internal config directly, test creation succeeds
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}
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}
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