Options Arbitrage Trading Bot in Rust

Overview

A high-performance trading bot implemented in Rust, designed to automate arbitrage strategies using various option spreads such as Calendar, Butterfly, and Boxspread. This bot interacts with the Interactive Brokers Web API to execute trades and pull live market data. For optimal performance, it's best to host the bot as close to IBKR's data centers as possible. I used an AWS EC2 instance with a New Jersey subnet and was able to identify all potential trades within approximately 100 ms.

Prerequisites

• Docker
• Docker Compose

Setup

1. Clone the repository:

   git clone https://github.com/hedge0/trading_bot_rust.git
   cd trading_bot_rust

2. Create a .env file in the root directory and add the required environment variables:

   # Trading parameters
   TICKER=your_ticker_value
   OPTION=your_option_value
   FILL_TYPE=your_fill_type
   ARB_VALUE=your_arb_value
   STRIKE_DIF_VALUE=your_strike_dif_value
   DISCOUNT_VALUE=your_discount_value
   NUM_DAYS=your_num_days
   NUM_DAYS_OFFSET=your_num_days_offset
   
   # IBKR API credentials
   DOMAIN=your_ibkr_domain
   PORT=your_ibkr_port
   
   # Bot mode
   TEST_MODE=true_or_false
   
   # Miscellaneous
   SECONDS_TO_SLEEP=your_seconds_to_sleep

3. Build and run the Docker container:

   docker-compose up --build

Usage

• The bot will automatically start and listen for market conditions to execute trades.
• Configure the bot by editing the .env file with your preferred settings and environment variables.
• The bot can be run in both live and testing modes.

Trading Strategies

The bot supports the following trading strategies:

• Calendar Spread
• Butterfly Spread
• Boxspread

Running Tests

To run the tests for the library, use the following command:

cargo test

The test file includes various test cases for functions such as:

• test_get_dotenv_variable
• test_calc_final_num_orders
• test_calc_time_difference
• test_calc_rank_value

These tests ensure the correctness of the functions used in the bot.

Contributing

Contributions are welcome! Please open an issue or submit a pull request for any changes or improvements.

License

This project is licensed under the MIT License.