https://github.com/joaquinbejar/optionchain-simulator
A lightweight RESTful simulator for option chains that evolves over time with each API request. Useful for testing trading algorithms, visualizations, and analytics pipelines without relying on real-time market data. NO PRODUCTION READY YET
https://github.com/joaquinbejar/optionchain-simulator
chain clickhouse derivatives finance financial-engineering fintech options options-trading quantitative-finance redis rest-api rust trading
Last synced: 8 months ago
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A lightweight RESTful simulator for option chains that evolves over time with each API request. Useful for testing trading algorithms, visualizations, and analytics pipelines without relying on real-time market data. NO PRODUCTION READY YET
- Host: GitHub
- URL: https://github.com/joaquinbejar/optionchain-simulator
- Owner: joaquinbejar
- License: mit
- Created: 2025-04-12T09:09:16.000Z (about 1 year ago)
- Default Branch: main
- Last Pushed: 2025-05-02T07:07:19.000Z (about 1 year ago)
- Last Synced: 2025-09-23T07:52:35.550Z (9 months ago)
- Topics: chain, clickhouse, derivatives, finance, financial-engineering, fintech, options, options-trading, quantitative-finance, redis, rest-api, rust, trading
- Language: Rust
- Homepage:
- Size: 1.3 MB
- Stars: 6
- Watchers: 1
- Forks: 3
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
Awesome Lists containing this project
README
[](./LICENSE)
[](https://crates.io/crates/optionchain_simulator)
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[](https://github.com/joaquinbejar/OptionChain-Simulator/issues)
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[](https://codecov.io/gh/joaquinbejar/OptionChain-Simulator)
[](https://libraries.io/github/joaquinbejar/OptionChain-Simulator)
[](https://docs.rs/optionchain_simulator)
## OptionChain-Simulator API and Architecture
### System Architecture
```mermaid
flowchart TD
Client[Client Applications] --> API[API Layer]
API --> SM[Session Management]
SM --> App[Application Layer]
App --> Domain[Domain Layer]
App --> Infra[Infrastructure Layer]
Domain --> SimEngine[Simulation Engine]
Infra --> ClickHouse[(ClickHouse DB)]
Infra --> Redis[(Redis)]
Infra --> MongoDB[(MongoDB)]
```
### Session State Transitions
```mermaid
stateDiagram-v2
[*] --> Initialized: POST /api/v1/chain
Initialized --> InProgress: GET
InProgress --> InProgress: GET
InProgress --> Modified: PATCH
Modified --> InProgress: GET
InProgress --> Reinitialized: PUT
Modified --> Reinitialized: PUT
Reinitialized --> InProgress: GET
Initialized --> [*]: DELETE
InProgress --> [*]: DELETE
Modified --> [*]: DELETE
Reinitialized --> [*]: DELETE
```
### API Request Flow
```mermaid
sequenceDiagram
participant Client
participant API as REST API
participant SM as Session Manager
participant SS as Simulator Service
Client->>API: POST /api/v1/chain
API->>SM: Create new session
SM->>SS: Initialize simulation
SS-->>SM: Initial state
SM-->>API: Session created (id: abc123)
API-->>Client: 201 Created (session details)
Client->>API: GET /api/v1/chain
API->>SM: Get next step
SM->>SS: Advance simulation
SS-->>SM: Step data
SM-->>API: Chain data
API-->>Client: 200 OK (Chain data)
```
### REST API Endpoints
The OptionChain-Simulator exposes the following REST API endpoints:
| Method | Endpoint | Action | Description |
|--------|---------------|------------------|--------------------------------------------------|
| POST | /api/v1/chain | Create Session | Creates a new simulation session |
| GET | /api/v1/chain | Read Next Step | Gets the next step in the simulation |
| PUT | /api/v1/chain | Replace Session | Completely replaces session parameters |
| PATCH | /api/v1/chain | Update Parameters| Updates specific session parameters |
| DELETE | /api/v1/chain | Delete Session | Terminates and removes a session |
### Request/Response Models
#### 1. Create Session (POST /api/v1/chain)
**Request Body:**
```json
{
"symbol": "AAPL",
"steps": 10,
"initial_price": 185.5,
"days_to_expiration": 45.0,
"volatility": 0.25,
"risk_free_rate": 0.04,
"dividend_yield": 0.005,
"method": {
"GeometricBrownian": {
"dt": 0.004,
"drift": 0.05,
"volatility": 0.25
}
},
"time_frame": "Day",
"chain_size": 15,
"strike_interval": 5.0,
"smile_curve": 0.0005,
"spread": 0.02
}
```
**Response (201 Created):**
```json
{
"id": "6af613b6-569c-5c22-9c37-2ed93f31d3af",
"created_at": "2025-04-21T15:37:30.518022+00:00",
"updated_at": "2025-04-21T15:37:30.518022+00:00",
"parameters": {
"symbol": "AAPL",
"initial_price": 185.5,
"volatility": 0.25,
"risk_free_rate": 0.04,
"method": "GeometricBrownian { dt: 0.004, drift: 0.05, volatility: 0.25 }",
"time_frame": "day",
"dividend_yield": 0.005,
"smile_curve": 0.0005,
"spread": 0.02
},
"current_step": 0,
"total_steps": 10,
"state": "Initialized"
}
```
#### 2. Get Next Step (GET /api/v1/chain?sessionid=6af613b6-569c-5c22-9c37-2ed93f31d3af)
**Response (200 OK):**
```json
{
"underlying": "AAPL",
"timestamp": "2025-04-21T15:33:03.597061+00:00",
"price": 185.299430466522,
"contracts": [
{
"strike": 160.0,
"expiration": "2025-06-05",
"call": {
"bid": 26.08,
"ask": 26.1,
"mid": 26.09,
"delta": 0.9993778215543331
},
"put": {
"bid": null,
"ask": null,
"mid": null,
"delta": -4.2479708093406946e-6
},
"implied_volatility": 0.09731095458186256,
"gamma": 3.121236702609213e-6
},
{
"strike": 165.0,
"expiration": "2025-06-05",
"call": {
"bid": 21.14,
"ask": 21.16,
"mid": 21.15,
"delta": 0.9888998386575956
},
"put": {
"bid": 0.03,
"ask": 0.05,
"mid": 0.04,
"delta": -0.010482230867546823
},
"implied_volatility": 0.15077922021760087,
"gamma": 0.0028266289100911603
},
{
"strike": 170.0,
"expiration": "2025-06-05",
"call": {
"bid": 16.62,
"ask": 16.64,
"mid": 16.63,
"delta": 0.9153696474659715
},
"put": {
"bid": 0.49,
"ask": 0.51,
"mid": 0.5,
"delta": -0.08401242205917087
},
"implied_volatility": 0.1927733286389461,
"gamma": 0.012279670056243013
},
{
"strike": 175.0,
"expiration": "2025-06-05",
"call": {
"bid": 12.87,
"ask": 12.89,
"mid": 12.88,
"delta": 0.7964192920937592
},
"put": {
"bid": 1.71,
"ask": 1.73,
"mid": 1.72,
"delta": -0.2029627774313833
},
"implied_volatility": 0.22329327984589836,
"gamma": 0.019409579420062936
},
{
"strike": 180.0,
"expiration": "2025-06-05",
"call": {
"bid": 9.76,
"ask": 9.78,
"mid": 9.77,
"delta": 0.6700429413591044
},
"put": {
"bid": 3.57,
"ask": 3.59,
"mid": 3.58,
"delta": -0.3293391281660381
},
"implied_volatility": 0.24233907383845762,
"gamma": 0.022910122989513254
},
{
"strike": 185.0,
"expiration": "2025-06-05",
"call": {
"bid": 7.09,
"ask": 7.11,
"mid": 7.1,
"delta": 0.5468721177394451
},
"put": {
"bid": 5.87,
"ask": 5.89,
"mid": 5.88,
"delta": -0.45250995178569736
},
"implied_volatility": 0.24991071061662393,
"gamma": 0.024315069945191076
},
{
"strike": 190.0,
"expiration": "2025-06-05",
"call": {
"bid": 4.68,
"ask": 4.7,
"mid": 4.69,
"delta": 0.4237521134194814
},
"put": {
"bid": 8.45,
"ask": 8.47,
"mid": 8.46,
"delta": -0.5756299561056611
},
"implied_volatility": 0.24385078722742481,
"gamma": 0.024638652336979393
},
{
"strike": 195.0,
"expiration": "2025-06-05",
"call": {
"bid": 2.62,
"ask": 2.64,
"mid": 2.63,
"delta": 0.29452137751494756
},
"put": {
"bid": 11.36,
"ask": 11.38,
"mid": 11.37,
"delta": -0.7048606920101947
},
"implied_volatility": 0.22617927813392658,
"gamma": 0.023389127623181388
},
{
"strike": 200.0,
"expiration": "2025-06-05",
"call": {
"bid": 1.03,
"ask": 1.05,
"mid": 1.04,
"delta": 0.15952905609846607
},
"put": {
"bid": 14.75,
"ask": 14.77,
"mid": 14.76,
"delta": -0.8398530134266764
},
"implied_volatility": 0.19703361182603538,
"gamma": 0.01891326128023662
},
{
"strike": 205.0,
"expiration": "2025-06-05",
"call": {
"bid": 0.16,
"ask": 0.18,
"mid": 0.17,
"delta": 0.04271051015963935
},
"put": {
"bid": 18.85,
"ask": 18.87,
"mid": 18.86,
"delta": -0.9566715593655031
},
"implied_volatility": 0.15641378830375124,
"gamma": 0.008916660747165772
},
{
"strike": 210.0,
"expiration": "2025-06-05",
"call": {
"bid": null,
"ask": null,
"mid": null,
"delta": 0.0005597778266970925
},
"put": {
"bid": 23.66,
"ask": 23.68,
"mid": 23.67,
"delta": -0.9988222916984453
},
"implied_volatility": 0.10431980756707404,
"gamma": 0.0002902662707065403
}
],
"session_info": {
"id": "6af613b6-569c-5c22-9c37-2ed93f31d3af",
"current_step": 1,
"total_steps": 10
}
}
```
#### 3. Update Session Parameters (PATCH /api/v1/chain?sessionid=6af613b6-569c-5c22-9c37-2ed93f31d3af)
**Request Body:**
```json
{
"symbol": "AAPL",
"initial_price": 385.5,
"steps": 8,
"volatility": 0.2,
"risk_free_rate": 0.03,
"dividend_yield": 0.005,
"days_to_expiration": 30.0,
"time_frame": "Day"
}
```
**Response (200 OK):**
```json
{
"id": "6af613b6-569c-5c22-9c37-2ed93f31d3af",
"created_at": "2025-04-21T15:32:59.551486+00:00",
"updated_at": "2025-04-21T15:33:19.515911+00:00",
"parameters": {
"symbol": "AAPL",
"initial_price": 385.5,
"volatility": 0.2,
"risk_free_rate": 0.03,
"method": "GeometricBrownian { dt: 0.004, drift: 0.05, volatility: 0.25 }",
"time_frame": "day",
"dividend_yield": 0.005,
"smile_curve": 0.0005,
"spread": 0.02
},
"current_step": 0,
"total_steps": 30,
"state": "Reinitialized"
}
```
#### 4. Replace Session (PUT /api/v1/chain)
**Request Body:**
```json
{
"symbol": "AAPL",
"steps": 30,
"initial_price": 385.5,
"days_to_expiration": 45.0,
"volatility": 0.25,
"risk_free_rate": 0.04,
"dividend_yield": 0.005,
"method": {
"GeometricBrownian": {
"dt": 0.004,
"drift": 0.05,
"volatility": 0.25
}
},
"time_frame": "Day",
"chain_size": 15,
"strike_interval": 5.0,
"smile_curve": 0.0005,
"spread": 0.02
}
```
**Response (200 OK):**
```json
{
"id": "6af613b6-569c-5c22-9c37-2ed93f31d3af",
"created_at": "2025-04-21T15:37:30.518022+00:00",
"updated_at": "2025-04-21T15:37:33.951540+00:00",
"parameters": {
"symbol": "AAPL",
"initial_price": 385.5,
"volatility": 0.25,
"risk_free_rate": 0.04,
"method": "GeometricBrownian { dt: 0.004, drift: 0.05, volatility: 0.25 }",
"time_frame": "day",
"dividend_yield": 0.005,
"smile_curve": 0.0005,
"spread": 0.02
},
"current_step": 0,
"total_steps": 30,
"state": "Reinitialized"
}
```
#### 5. Delete Session (DELETE /api/v1/chain?sessionid=6af613b6-569c-5c22-9c37-2ed93f31d3af)
**Response (200 OK):**
```json
{
"message": "Session deleted successfully: 6af613b6-569c-5c22-9c37-2ed93f31d3af",
"session_id": "6af613b6-569c-5c22-9c37-2ed93f31d3af"
}
```
### Domain Models
```mermaid
classDiagram
class SessionManager {
+createSession(params) Session
+getNextStep(id) (Session, OptionChain)
+updateSession(id, params) Session
+reinitializeSession(id, params) Session
+deleteSession(id) bool
}
class Session {
+id UUID
+createdAt DateTime
+updatedAt DateTime
+parameters SimulationParameters
+currentStep usize
+totalSteps usize
+state SessionState
+advanceStep() Result
+modifyParameters(params)
+reinitialize(params, steps)
}
class SessionState {
<>
Initialized
InProgress
Modified
Reinitialized
Completed
Error
}
class SimulationParameters {
+symbol String
+initialPrice Positive
+volatility Positive
+riskFreeRate Decimal
+strikes Vec~Positive~
+expirations Vec~String~
+method SimulationMethod
+timeFrame TimeFrame
}
class Simulator {
+simulateNextStep(session) OptionChain
-createRandomWalk(session) RandomWalk
}
class OptionChain {
+underlying String
+timestamp DateTime
+price Positive
+contracts Vec~OptionContract~
}
class OptionContract {
+strike Positive
+expiration String
+call OptionData
+put OptionData
+impliedVolatility Positive
+gamma Positive
}
Session --> SimulationParameters
Session --> SessionState
SessionManager --> Session: manages
SessionManager --> Simulator: uses
Simulator --> OptionChain: produces
OptionChain --> OptionContract: contains
```
### Infrastructure Components
```mermaid
classDiagram
class SessionStore {
<>
+get(id) Session
+save(session) void
+delete(id) bool
+cleanup() int
}
class InMemorySessionStore {
-sessions Map~UUID, Session~
+get(id) Session
+save(session) void
+delete(id) bool
+cleanup() int
}
class RedisSessionStore {
-client RedisClient
+get(id) Session
+save(session) void
+delete(id) bool
+cleanup() int
}
class HistoricalDataRepository {
<>
+getHistoricalPrices(symbol, timeframe, startDate, endDate) Vec~Positive~
+listAvailableSymbols() Vec~String~
+getDateRangeForSymbol(symbol) (DateTime, DateTime)
}
class ClickHouseHistoricalRepository {
-client ClickHouseClient
+getHistoricalPrices(symbol, timeframe, startDate, endDate) Vec~Positive~
+listAvailableSymbols() Vec~String~
+getDateRangeForSymbol(symbol) (DateTime, DateTime)
}
SessionStore <|.. InMemorySessionStore: implements
SessionStore <|.. RedisSessionStore: implements
HistoricalDataRepository <|.. ClickHouseHistoricalRepository: implements
```
#### 🚀 Deploy the project
To deploy the services defined in `Docker/docker-compose.yml`, run the following command:
```bash
make deploy
```
This will:
- Build the Docker images (`--build`)
- Force container recreation (`--force-recreate`)
- Run everything in detached mode (`-d`)
- Use `optionchain-simulator` as the project name to namespace containers and resources
Make sure Docker and Docker Compose are installed and running on your system.
### Makefile Commands for Development
The project includes a Makefile with useful commands for development:
| Command | Description |
|---------|-------------|
| `make build` | Builds the project |
| `make release` | Builds the project in release mode |
| `make test` | Runs all tests |
| `make fmt` | Formats the code using rustfmt |
| `make lint` | Runs clippy for linting |
| `make check` | Runs tests, formatting check, and linting |
| `make run` | Runs the project |
| `make clean` | Cleans build artifacts |
| `make doc` | Generates documentation |
| `make coverage` | Generates code coverage report |
| `make bench` | Runs benchmarks |
| `make deploy` | deploy the services in local |
Additional commands for CI/CD and deployment:
| Command | Description |
|---------|-------------|
| `make pre-push` | Runs fixes, formatting, linting, and tests before pushing |
| `make workflow` | Runs all GitHub Actions workflows locally |
| `make publish` | Publishes the package to crates.io |
| `make zip` | Creates a ZIP archive of the project |
## Contribution and Contact
We welcome contributions to this project! If you would like to contribute, please follow these steps:
1. Fork the repository.
2. Create a new branch for your feature or bug fix.
3. Make your changes and ensure that the project still builds and all tests pass.
4. Commit your changes and push your branch to your forked repository.
5. Submit a pull request to the main repository.
If you have any questions, issues, or would like to provide feedback, please feel free to contact the project maintainer:
**JoaquĂn BĂ©jar GarcĂa**
- Email: jb@taunais.com
- GitHub: [joaquinbejar](https://github.com/joaquinbejar)
We appreciate your interest and look forward to your contributions!
## ✍️ License
Licensed under MIT license