Strategies Overview

Strategies implement the Strategy trait and are driven by the StrategyRunner.

Strategy trait

#![allow(unused)]
fn main() {
pub trait Strategy: Send + Sync {
    fn on_book(&mut self, book: &Arc<BookUpdate>) -> Vec<Signal>;
    fn on_trade(&mut self, trade: &Trade) -> Vec<Signal>;
    fn on_fill(&mut self, fill: &Fill);
    fn reset(&mut self);
    fn name(&self) -> &'static str;
}
}

• on_book — called on every order-book snapshot; return signals to trade.
• on_trade — called on every tape print.
• on_fill — called when one of this strategy’s orders is filled; use to update inventory.
• reset — clear all state (used before backtests and replays).

Built-in strategies

Technical indicators

All indicators live in mercury-strategy and operate on Decimal values:

• SMA(period) — simple moving average
• EMA(period) — exponential moving average
• RSI(period) — relative strength index
• MACD(fast, slow, signal) — moving average convergence/divergence