Paper Trading

Paper trading runs Mercury against a live market feed but routes all orders through PaperGateway — a local matching engine. No real money is at risk.

Enable paper trading

cargo run --bin mercury -- run --symbol BTCUSDT --paper --strategy market_maker

How PaperGateway works

1. Receives live BookUpdate events from the market feed.
2. When a new order arrives, checks whether it crosses the current best bid/ask.
3. If it fills, publishes a synthetic Fill event onto the EventBus after a configurable simulated delay.
4. Default simulated round-trip latency: 5 ms.

Custom latency

The paper gateway latency is set in code:

#![allow(unused)]
fn main() {
// crates/cli/src/run.rs
let gateway = PaperGateway::with_latency(Duration::from_millis(10));
}

Limitations

• No partial fills — orders either fill completely or not at all.
• No queue position — the paper gateway assumes your order is at the top of the queue.
• Simulated latency is constant; real latency is variable.

These simplifications make paper results optimistic. Use backtesting on recorded data for more realistic simulation.