Roadmap

Python

Rust implementation as the backend.
Improve performance reporting tools.
- https://github.com/ranaroussi/quantstats
- https://www.prestolabs.io/research/optimizing-risk-adjusted-return-in-constructing-portfolios-of-alphas
Add more performance metrics and visualization features to the reporting tool.
Add live trading support.

Level 3 Market-By-Order backtesting.
Data fusion to provide the most frequent and granular data using different streams with different update frequencies and market depth ranges. (WIP: feature: unstable_fuse)
Adjust feed and order latency for exchanges located in different regions if the original feed and order latency data was collected at a different site.
Additional queue position model or exchange model.
A vector-based implementation for fast L2 market depth within the specified ROI (range of interest).
Add fee model: fee per trading value (current), fee per trading quantity, fee per trade, and different fees based on the direction. (@roykim98)
Parallel loading: Load the next data set while backtesting is in progress.
Add a modify order feature.

Support Level 3 Market-By-Order for Live Bot.
Support external connectors through IPC for multiple bots via a unified connection. (WIP: branch: ipc (PR-129))
- https://github.com/eclipse-iceoryx/iceoryx2

Implement Binance Futures Websocket Order APIs; currently, REST APIs are used for submitting orders.
- https://developers.binance.com/docs/derivatives/usds-margined-futures/websocket-api-general-info
Add Binance market depth management mode; currently, only natural refresh is supported.
Binance COIN-m Futures/Spot/Options
Bybit MVP
- https://bybit-exchange.github.io/docs/v5/intro
OKX
- https://www.okx.com/docs-v5/en/
Coinbase
Kraken
CDC
Databento for the data feed
- https://databento.com/docs/api-reference-live
Trad-fi

Market making example using ARMA, ARIMA, or GARCH on the underlying asset.
Example using different skew profiles for inventory management.
Example demonstrating latency-aware actions.
Example demonstrating the volume clock/event clock using wait_next_feed.
Example demonstrating the cross-market market-making.
Market making with alpha from the perspectives of statistical arbitrage and optimal execution.
Queue-position-based market making for large-tick assets.
Update the existing examples to align with version 2.0.0.