Gateways

Gateways implement the ExchangeGateway trait and handle order submission to exchanges.

ExchangeGateway trait

#![allow(unused)]
fn main() {
#[async_trait]
pub trait ExchangeGateway: Send + Sync {
    async fn connect(&mut self) -> GatewayResult<()>;
    async fn submit_order(&self, order: &Order) -> GatewayResult<OrderId>;
    async fn cancel_order(&self, id: &OrderId, symbol: &Symbol) -> GatewayResult<()>;
    fn exchange(&self) -> Exchange;
}
}

Supported gateways

PaperGateway

PaperGateway is a local matching engine that simulates order fills against live BookUpdate events on the bus. It is the recommended way to develop and test strategies.

• Default simulated RTT: 5 ms
• No API keys required
• Enabled with --paper CLI flag

Configurable latency:

#![allow(unused)]
fn main() {
PaperGateway::with_latency(Duration::from_millis(10))
}

Adding a new gateway

1. Create crates/gateway/src/myexchange.rs
2. Implement ExchangeGateway
3. Add the variant to Exchange enum in mercury-core
4. Register in crates/cli/src/main.rs (gateway match and feed_manager match)