Writing a Custom Strategy

1. Create the file

Add crates/strategy/src/my_strategy.rs and implement the Strategy trait:

#![allow(unused)]
fn main() {
use std::sync::Arc;
use mercury_core::{BookUpdate, Fill, Signal, Trade};
use crate::Strategy;

pub struct MyStrategy {
    // your state here
}

impl MyStrategy {
    pub fn new() -> Self {
        Self {}
    }
}

impl Strategy for MyStrategy {
    fn name(&self) -> &'static str { "my_strategy" }

    fn on_book(&mut self, book: &Arc<BookUpdate>) -> Vec<Signal> {
        // compute signals from the order book
        vec![]
    }

    fn on_trade(&mut self, _trade: &Trade) -> Vec<Signal> {
        vec![]
    }

    fn on_fill(&mut self, _fill: &Fill) {
        // update inventory / reinforce learning
    }

    fn reset(&mut self) {
        // clear all state
        *self = Self::new();
    }
}
}

2. Export from the crate

In crates/strategy/src/lib.rs:

#![allow(unused)]
fn main() {
pub mod my_strategy;
pub use my_strategy::MyStrategy;
}

3. Register the CLI flag

In crates/cli/src/run.rs, add a match arm for the new strategy name:

#![allow(unused)]
fn main() {
"my_strategy" => Box::new(MyStrategy::new()),
}

4. Run it

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

Tips

• Keep on_book fast — it is called on every tick. Avoid allocations on the hot path.
• Use rust_decimal::Decimal for all price/quantity arithmetic.
• Initialise warm-up state in reset() so backtests start clean.
• Use on_fill to track inventory rather than counting signals, since orders may be partially filled or rejected.