# Rust Core Enhancement Roadmap

## Missing Components & Potential Additions

### 1. **Order Management System (OMS)**
Currently missing a comprehensive order lifecycle management system.

```rust
// Suggested additions to orders module
pub struct OrderManager {
    active_orders: DashMap<String, Order>,
    order_history: Vec<OrderEvent>,
    order_routes: HashMap<String, OrderRoute>,
}

pub enum OrderEvent {
    Submitted { order_id: String, timestamp: DateTime<Utc> },
    Acknowledged { order_id: String, broker_id: String },
    PartialFill { order_id: String, fill: Fill },
    Filled { order_id: String, avg_price: f64 },
    Cancelled { order_id: String, reason: String },
    Rejected { order_id: String, reason: String },
    Modified { order_id: String, changes: OrderModification },
}

pub struct OrderModification {
    quantity: Option<f64>,
    price: Option<f64>,
    stop_price: Option<f64>,
}
```

### 2. **Advanced Order Types**
Current order types are basic. Missing:

```rust
pub enum OrderType {
    // Existing
    Market,
    Limit { price: f64 },
    Stop { stop_price: f64 },
    StopLimit { stop_price: f64, limit_price: f64 },
    
    // Missing
    Iceberg { visible_quantity: f64, total_quantity: f64 },
    TWAP { duration: Duration, slices: u32 },
    VWAP { duration: Duration, participation_rate: f64 },
    PeggedToMidpoint { offset: f64 },
    TrailingStop { trail_amount: f64, trail_percent: Option<f64> },
    OCO { order1: Box<Order>, order2: Box<Order> }, // One-Cancels-Other
    Bracket { entry: Box<Order>, stop_loss: Box<Order>, take_profit: Box<Order> },
}
```

### 3. **Portfolio Management**
No portfolio-level analytics or optimization.

```rust
pub mod portfolio {
    pub struct Portfolio {
        positions: HashMap<String, Position>,
        cash_balance: f64,
        margin_used: f64,
        buying_power: f64,
    }
    
    pub struct PortfolioAnalytics {
        pub fn calculate_beta(&self, benchmark: &str) -> f64;
        pub fn calculate_correlation_matrix(&self) -> Matrix<f64>;
        pub fn calculate_var(&self, confidence: f64, horizon: Duration) -> f64;
        pub fn calculate_sharpe_ratio(&self, risk_free_rate: f64) -> f64;
        pub fn calculate_sortino_ratio(&self, mar: f64) -> f64;
        pub fn calculate_max_drawdown(&self) -> DrawdownInfo;
    }
    
    pub struct PortfolioOptimizer {
        pub fn optimize_weights(&self, constraints: Constraints) -> HashMap<String, f64>;
        pub fn calculate_efficient_frontier(&self, points: usize) -> Vec<(f64, f64)>;
        pub fn black_litterman(&self, views: Views) -> HashMap<String, f64>;
        pub fn risk_parity(&self) -> HashMap<String, f64>;
    }
}
```

### 4. **Market Data Enhancements**
Missing Level 2 data, options data, and advanced market data types.

```rust
pub enum MarketDataType {
    // Existing
    Quote(Quote),
    Trade(Trade),
    Bar(Bar),
    
    // Missing
    Level2 { bids: Vec<PriceLevel>, asks: Vec<PriceLevel> },
    Imbalance { buy_quantity: f64, sell_quantity: f64, ref_price: f64 },
    AuctionData { indicative_price: f64, indicative_volume: f64 },
    OptionQuote { 
        strike: f64, 
        expiry: DateTime<Utc>, 
        call_bid: f64, 
        call_ask: f64,
        put_bid: f64,
        put_ask: f64,
        implied_vol: f64,
    },
    Greeks {
        delta: f64,
        gamma: f64,
        theta: f64,
        vega: f64,
        rho: f64,
    },
}
```

### 5. **Execution Algorithms**
No implementation of common execution algorithms.

```rust
pub mod execution_algos {
    pub trait ExecutionAlgorithm {
        fn generate_child_orders(&mut self, parent: &Order, market_state: &MarketState) -> Vec<Order>;
        fn on_fill(&mut self, fill: &Fill);
        fn on_market_update(&mut self, update: &MarketUpdate);
    }
    
    pub struct TWAPAlgorithm {
        duration: Duration,
        slice_interval: Duration,
        randomization: f64, // Add randomness to avoid detection
    }
    
    pub struct VWAPAlgorithm {
        historical_volume_curve: Vec<f64>,
        participation_rate: f64,
        min_slice_size: f64,
    }
    
    pub struct ImplementationShortfall {
        urgency: f64,
        risk_aversion: f64,
        arrival_price: f64,
    }
    
    pub struct Iceberg {
        visible_size: f64,
        refresh_strategy: RefreshStrategy,
    }
}
```

### 6. **Options Support**
No options trading infrastructure.

```rust
pub mod options {
    pub struct OptionContract {
        underlying: String,
        strike: f64,
        expiry: DateTime<Utc>,
        option_type: OptionType,
        multiplier: f64,
    }
    
    pub enum OptionType {
        Call,
        Put,
    }
    
    pub struct OptionPricer {
        pub fn black_scholes(&self, params: BSParams) -> OptionPrice;
        pub fn binomial(&self, params: BinomialParams) -> OptionPrice;
        pub fn monte_carlo(&self, params: MCParams, simulations: u32) -> OptionPrice;
    }
    
    pub struct OptionGreeks {
        pub fn calculate_greeks(&self, contract: &OptionContract, market: &MarketData) -> Greeks;
        pub fn calculate_implied_volatility(&self, price: f64) -> f64;
    }
    
    pub struct OptionStrategy {
        legs: Vec<OptionLeg>,
        pub fn calculate_payoff(&self, underlying_price: f64) -> f64;
        pub fn calculate_breakeven(&self) -> Vec<f64>;
        pub fn max_profit(&self) -> Option<f64>;
        pub fn max_loss(&self) -> Option<f64>;
    }
}
```

### 7. **Machine Learning Integration**
No ML feature generation or model integration.

```rust
pub mod ml {
    pub struct FeatureEngine {
        indicators: Vec<Box<dyn Indicator>>,
        lookback_periods: Vec<usize>,
        
        pub fn generate_features(&self, data: &MarketData) -> FeatureMatrix;
        pub fn calculate_feature_importance(&self) -> HashMap<String, f64>;
    }
    
    pub trait MLModel {
        fn predict(&self, features: &FeatureMatrix) -> Prediction;
        fn update(&mut self, features: &FeatureMatrix, outcome: &Outcome);
    }
    
    pub struct ModelEnsemble {
        models: Vec<Box<dyn MLModel>>,
        weights: Vec<f64>,
        
        pub fn predict(&self, features: &FeatureMatrix) -> Prediction;
        pub fn update_weights(&mut self, performance: &ModelPerformance);
    }
}
```

### 8. **Backtesting Engine Enhancements**
Current backtesting is basic. Missing:

```rust
pub mod backtesting {
    pub struct BacktestEngine {
        // Slippage models
        slippage_model: Box<dyn SlippageModel>,
        
        // Market impact models (you have this but not integrated)
        market_impact: Box<dyn MarketImpactModel>,
        
        // Multi-asset synchronization
        clock_sync: ClockSynchronizer,
        
        // Walk-forward analysis
        walk_forward: WalkForwardConfig,
        
        // Monte Carlo simulation
        monte_carlo: MonteCarloConfig,
    }
    
    pub struct BacktestMetrics {
        // Return metrics
        total_return: f64,
        annualized_return: f64,
        volatility: f64,
        
        // Risk metrics
        sharpe_ratio: f64,
        sortino_ratio: f64,
        calmar_ratio: f64,
        max_drawdown: f64,
        var_95: f64,
        cvar_95: f64,
        
        // Trading metrics
        win_rate: f64,
        profit_factor: f64,
        avg_win_loss_ratio: f64,
        expectancy: f64,
        
        // Execution metrics
        avg_slippage: f64,
        total_commission: f64,
        turnover: f64,
    }
}
```

### 9. **Real-time Monitoring & Alerts**
No monitoring or alerting system.

```rust
pub mod monitoring {
    pub struct Monitor {
        rules: Vec<MonitorRule>,
        alert_channels: Vec<Box<dyn AlertChannel>>,
    }
    
    pub enum MonitorRule {
        PositionLimit { symbol: String, max_size: f64 },
        DrawdownAlert { threshold: f64 },
        VolumeSpike { symbol: String, threshold: f64 },
        SpreadWidening { symbol: String, max_spread: f64 },
        LatencyAlert { max_latency: Duration },
        ErrorRate { max_errors_per_minute: u32 },
    }
    
    pub trait AlertChannel {
        fn send_alert(&self, alert: Alert) -> Result<(), Error>;
    }
}
```

### 10. **Data Persistence Layer**
No built-in data storage/retrieval.

```rust
pub mod persistence {
    pub trait DataStore {
        fn save_market_data(&self, data: &MarketUpdate) -> Result<(), Error>;
        fn load_market_data(&self, symbol: &str, range: DateRange) -> Result<Vec<MarketUpdate>, Error>;
        
        fn save_order(&self, order: &Order) -> Result<(), Error>;
        fn load_order_history(&self, filter: OrderFilter) -> Result<Vec<Order>, Error>;
        
        fn save_trade(&self, trade: &TradeRecord) -> Result<(), Error>;
        fn load_trades(&self, filter: TradeFilter) -> Result<Vec<TradeRecord>, Error>;
    }
    
    pub struct TimeSeriesDB {
        // QuestDB or TimescaleDB adapter
    }
    
    pub struct Cache {
        // Redis adapter for hot data
    }
}
```

### 11. **Strategy Development Framework**
Missing strategy templates and utilities.

```rust
pub mod strategy_framework {
    pub trait Strategy {
        fn on_start(&mut self);
        fn on_market_data(&mut self, data: &MarketUpdate) -> Vec<Signal>;
        fn on_fill(&mut self, fill: &Fill);
        fn on_end_of_day(&mut self);
        fn get_parameters(&self) -> StrategyParameters;
    }
    
    pub struct StrategyOptimizer {
        pub fn optimize_parameters(
            &self, 
            strategy: &dyn Strategy, 
            data: &HistoricalData,
            objective: ObjectiveFunction
        ) -> OptimalParameters;
        
        pub fn walk_forward_analysis(&self, windows: Vec<DateRange>) -> WalkForwardResults;
    }
}
```

### 12. **Compliance & Regulation**
No compliance checks or audit trails.

```rust
pub mod compliance {
    pub struct ComplianceEngine {
        rules: Vec<ComplianceRule>,
        audit_log: AuditLog,
    }
    
    pub enum ComplianceRule {
        NoBuyDuringRestricted { restricted_periods: Vec<DateRange> },
        MaxOrdersPerDay { limit: u32 },
        MinOrderInterval { duration: Duration },
        RestrictedSymbols { symbols: HashSet<String> },
        MaxLeverageRatio { ratio: f64 },
    }
    
    pub struct AuditLog {
        pub fn log_order(&self, order: &Order, metadata: AuditMetadata);
        pub fn log_trade(&self, trade: &Trade, metadata: AuditMetadata);
        pub fn generate_report(&self, period: DateRange) -> ComplianceReport;
    }
}
```

### 13. **Advanced Indicators**
Missing many common indicators.

```rust
pub mod indicators {
    // Additional indicators to add:
    - Ichimoku Cloud
    - Parabolic SAR
    - Fibonacci Retracements
    - Pivot Points
    - Money Flow Index
    - Williams %R
    - Commodity Channel Index (CCI)
    - On Balance Volume (OBV)
    - Accumulation/Distribution Line
    - Chaikin Money Flow
    - TRIX
    - Keltner Channels
    - Donchian Channels
    - Average Directional Index (ADX)
    - Aroon Indicator
}
```

### 14. **Network & Connectivity**
No network resilience or multi-venue support.

```rust
pub mod connectivity {
    pub struct ConnectionManager {
        venues: HashMap<String, VenueConnection>,
        fallback_routes: HashMap<String, Vec<String>>,
        heartbeat_monitor: HeartbeatMonitor,
    }
    
    pub struct VenueConnection {
        primary: Connection,
        backup: Option<Connection>,
        latency_stats: LatencyStats,
        pub fn send_order(&self, order: &Order) -> Result<String, Error>;
        pub fn cancel_order(&self, order_id: &str) -> Result<(), Error>;
    }
}
```

### 15. **Performance Profiling**
No built-in performance monitoring.

```rust
pub mod profiling {
    pub struct PerformanceProfiler {
        metrics: DashMap<String, PerformanceMetric>,
        
        pub fn record_latency(&self, operation: &str, duration: Duration);
        pub fn record_throughput(&self, operation: &str, count: u64);
        pub fn get_report(&self) -> PerformanceReport;
    }
}
```

## Priority Recommendations

### High Priority
1. **Order Management System** - Critical for proper order lifecycle tracking
2. **Portfolio Analytics** - Essential for multi-asset strategies
3. **Execution Algorithms** - TWAP/VWAP for better execution
4. **Advanced Order Types** - Bracket orders, trailing stops
5. **Backtesting Enhancements** - Proper slippage and impact modeling

### Medium Priority
1. **Options Support** - If trading options
2. **ML Integration** - Feature generation framework
3. **Monitoring & Alerts** - Real-time system health
4. **Data Persistence** - Proper storage layer
5. **More Indicators** - Based on strategy needs

### Low Priority
1. **Compliance Engine** - Unless regulatory requirements
2. **Multi-venue Support** - Unless using multiple brokers
3. **Advanced Market Data** - Level 2, imbalance data

## Implementation Approach

1. **Modular Design**: Each component should be optional and pluggable
2. **Trait-Based**: Continue using traits for extensibility
3. **Performance First**: Maintain the current performance focus
4. **Backward Compatible**: Don't break existing APIs
5. **Incremental**: Add features based on actual needs

The core is solid, but these additions would make it a comprehensive institutional-grade trading system!