Rust Backtester

This repo is a self-contained Rust backtester for IMC Prosperity 4.

It only supports local backtesting. There is no API surface and no hosted workflow in this repo.

Everything needed for the default backtest flow now lives inside this directory. The bundled default trader is:

• traders/latest_trader.py

There is also a diagnostic trader that aggressively tests every visible product in a dataset:

• traders/all_products_trader.py

Setup

Clone the repo:

git clone https://github.com/GeyzsoN/prosperity_rust_backtester.git
cd prosperity_rust_backtester

macOS

Install the toolchain once:

xcode-select --install
curl https://sh.rustup.rs -sSf | sh
source "$HOME/.cargo/env"
python3 --version

For normal end-user usage, install the published CLI from crates.io:

cargo install rust_backtester --locked

Then run it directly:

rust_backtester --help
rust_backtester

If rust_backtester is not found after install, make sure ~/.cargo/bin is on your PATH.

If rust_backtester cannot be executed after install, make sure that ~/scripts/cargo_local.sh` is executable:

ls -la scripts/

sed -i 's/\r$//' scripts/cargo_local.sh

chmod +x scripts/cargo_local.sh

For local development from this repo, either install the local CLI:

make install

or run the backtester directly from source:

make backtest

For the fastest local-source runs, prefer:

cargo run --release -- --help

The macOS make targets intentionally build through a wrapper instead of your full shell environment. By default they write Rust build artifacts to:

~/Library/Caches/rust_backtester/target

If you want a different target dir, override it explicitly:

CARGO_TARGET_DIR=/path/to/target make build-release

Windows

Use WSL2. Open an Ubuntu shell inside WSL2 and run the same commands there. Native Windows shells are not the target environment for this repo.

There is no separate manual build step required for normal use:

• make backtest and the other make run targets use cargo run, which builds automatically on first use
• cargo install rust_backtester --locked installs the published release binary so you can run rust_backtester directly afterward
• make install installs the CLI once so you can run rust_backtester directly afterward
• make doctor prints local diagnostics for macOS build hangs and execution-policy issues

Included Data

The repo is organized by round:

• datasets/tutorial/prices_round_0_day_-2.csv
• datasets/tutorial/trades_round_0_day_-2.csv
• datasets/tutorial/prices_round_0_day_-1.csv
• datasets/tutorial/trades_round_0_day_-1.csv
• datasets/tutorial/submission.log
• datasets/round1/prices_round_1_day_-2.csv
• datasets/round1/trades_round_1_day_-2.csv
• datasets/round1/prices_round_1_day_-1.csv
• datasets/round1/trades_round_1_day_-1.csv
• datasets/round1/prices_round_1_day_0.csv
• datasets/round1/trades_round_1_day_0.csv
• datasets/round2/prices_round_2_day_-1.csv
• datasets/round2/trades_round_2_day_-1.csv
• datasets/round2/prices_round_2_day_0.csv
• datasets/round2/trades_round_2_day_0.csv
• datasets/round2/prices_round_2_day_1.csv
• datasets/round2/trades_round_2_day_1.csv
• datasets/round3/prices_round_3_day_0.csv
• datasets/round3/trades_round_3_day_0.csv
• datasets/round3/prices_round_3_day_1.csv
• datasets/round3/trades_round_3_day_1.csv
• datasets/round3/prices_round_3_day_2.csv
• datasets/round3/trades_round_3_day_2.csv
• datasets/round4/prices_round_4_day_1.csv
• datasets/round4/trades_round_4_day_1.csv
• datasets/round4/prices_round_4_day_2.csv
• datasets/round4/trades_round_4_day_2.csv
• datasets/round4/prices_round_4_day_3.csv
• datasets/round4/trades_round_4_day_3.csv
• datasets/round5/prices_round_5_day_2.csv
• datasets/round5/trades_round_5_day_2.csv
• datasets/round5/prices_round_5_day_3.csv
• datasets/round5/trades_round_5_day_3.csv
• datasets/round5/prices_round_5_day_4.csv
• datasets/round5/trades_round_5_day_4.csv
• datasets/round6/
• datasets/round7/
• datasets/round8/

Right now the bundled public data is the raw IMC tutorial day data in datasets/tutorial/, the raw round 1 day data in datasets/round1/, the raw round 2 day data in datasets/round2/, the raw round 3 day data in datasets/round3/, the raw round 4 day data in datasets/round4/, the raw round 5 day data in datasets/round5/, plus a sample tutorial submission.log produced with the bundled basic trader. The remaining round folders are there so future round files can be placed in the correct folder instead of being mixed together. If you place a portal submission.log file into a round folder, the backtester will use it. submission.log is also generated for persisted runs.

CLI

The CLI is intentionally simple:

rust_backtester

With no arguments it will:

• auto-pick the newest Python file that looks like a trader from this repo's local scripts/, traders/submissions/, or traders/
• default the dataset to the latest populated round folder under datasets/
• run in fast mode
• print one compact row per day

That means the simplest local commands are:

make backtest

or:

rust_backtester

For the published crates.io binary, the normal flow is:

cargo install rust_backtester --locked
rust_backtester

To update later:

cargo install rust_backtester --locked

Round-specific shortcuts:

make tutorial

Submission and future-round shortcuts are also available once you place a submission.log, submission.json, or round data into datasets/round1/, datasets/round2/, and so on.

Useful optional variables for any make backtest target:

make tutorial DAY=-1
make submission ROUND=round1
make round3 TRADER=traders/latest_trader.py
make round3 TRADER=traders/all_products_trader.py
make round2 PERSIST=1
make tutorial FLAT=1
make tutorial CARRY=1

Supported input formats:

• normalized dataset JSON files
• IMC day data as matching prices_*.csv and trades_*.csv, with optional paired observations_*.csv
• portal submission logs such as submission.log

Day selection behavior:

• DAY=-1 or DAY=-2 runs only that day file inside the round
• DAY=all or omitting DAY runs the whole round bundle, including any submission file when present
• make submission ROUND=round1 runs the submission dataset for datasets/round1/ when a submission file is present

Explicit examples:

rust_backtester \
  --trader /path/to/trader.py \
  --dataset tutorial

rust_backtester \
  --trader /path/to/trader.py \
  --dataset datasets/tutorial

rust_backtester \
  --trader /path/to/trader.py \
  --dataset /path/to/submission.log

rust_backtester \
  --trader /path/to/trader.py \
  --dataset datasets/round1

Behavior:

• fast mode is the default
• the CLI prints one result row per day
• --dataset accepts either a path or a short alias
• when --dataset points to a directory, every supported dataset in that directory is run
• prices_*.csv files are paired automatically with matching trades_*.csv files from the same folder
• matching observations_*.csv files are loaded automatically when present and exposed through state.observations.conversionObservations
• latest and tutorial run the full bundled tutorial round bundle: day -2, day -1, and the sample tutorial submission log
• use --day <n> to run only the matching day dataset within the round bundle; this excludes submission files
• metrics.json is always written under runs/<backtest-id>/
• default fast runs also write submission.log under runs/<backtest-id>/
• use --artifact-mode to choose which extra artifacts are written
• use --carry or CARRY=1 to carry positions, own trades, market trades, and trader state across non-submission day datasets in the same round
• use --flat or FLAT=1 to place multi-run outputs in a single directory with dataset/day-prefixed filenames
• use --persist or PERSIST=1 to write the full replay artifact set under runs/
• persisted multi-day or multi-file runs also write one combined bundle at runs/<backtest-id>/, including combined.log and manifest.json
• for multi-run visualizer uploads, use each child RUN_DIR/submission.log; the top-level bundle does not emit a stitched replay file
• product output defaults to every product so no product PnL is hidden in larger rounds

Published binary vs local development:

• rust_backtester runs the installed binary found on your PATH, typically ~/.cargo/bin/rust_backtester
• cargo run -- ... runs the local source tree in debug mode
• cargo run --release -- ... runs the local source tree in release mode
• if end users report slow runs, make sure they are running the installed rust_backtester binary and not repeatedly using cargo run

Bundled dataset aliases:

• latest
• tutorial, tut, tutorial-round, tut-round
• round1, r1
• round2, r2
• round3, r3
• round4, r4
• round5, r5
• round6, r6
• round7, r7
• round8, r8
• tutorial-1, tut-1, tut-d-1
• tutorial-2, tut-2, tut-d-2

Product display modes:

• --products full default: print a separate product table with every product
• --products summary: print a compact product table with the top product PnL contributors and an OTHER(+N) rollup when needed
• --products off: show only the per-day total

Artifact modes:

• --artifact-mode none: write only metrics.json
• --artifact-mode submission default when --persist is not set: write metrics.json and submission.log
• --artifact-mode diagnostic: write metrics.json and bundle.json with the PnL series included for diagnostics
• --artifact-mode full: write the full persisted artifact set: metrics.json, bundle.json, submission.log, activity.csv, pnl_by_product.csv, combined.log, and trades.csv
• --persist implies --artifact-mode full unless you explicitly override --artifact-mode

Flat layout behavior:

• --flat only changes multi-run layouts; single-run outputs stay unchanged
• multi-run outputs are written into runs/<backtest-id>/ with prefixed filenames such as tutorial-day-2-submission.log and tutorial-day-2-metrics.json
• when --flat is combined with --persist, the same directory also includes combined.log and manifest.json

Carry mode behavior:

• --carry only applies to non-submission day datasets; submission datasets remain separate runs
• with --carry, consecutive day datasets in the same round are merged into one connected replay ordered by (day, timestamp)
• positions, prior own trades, prior market trades, and trader data are carried across those merged day boundaries
• carry mode also normalizes timestamps into one continuous timeline, so the first tick of the next day starts immediately after the previous day ends
• a carried run reports DAY=all in the summary because it spans multiple days

Artifact mode examples:

rust_backtester \
  --trader /path/to/trader.py \
  --dataset tutorial \
  --artifact-mode none

rust_backtester \
  --trader /path/to/trader.py \
  --dataset tutorial \
  --artifact-mode diagnostic

rust_backtester \
  --trader /path/to/trader.py \
  --dataset tutorial \
  --artifact-mode full

Example output shape:

trader: latest_trader.py [auto]
dataset: tutorial [default]
mode: fast
artifacts: log-only
SET             DAY    TICKS  OWN_TRADES    FINAL_PNL  RUN_DIR
D-2              -2    10000          39       118.10  runs/backtest-123-day-2-day-2
D-1              -1    10000          42       123.45  runs/backtest-123-day-1-day-1
SUB              -1     2000          18        51.20  runs/backtest-123-submission-day-1

PRODUCT        D-2        D-1        SUB
TOM          70.00      77.20      29.10
EMR          48.10      46.25      22.10

Bundled Targets

make doctor
make build
make build-release
make test
make install
make install-pip
make install-uv
make install-uv-editable
make backtest
make tutorial

macOS Troubleshooting

If a local Rust build hangs on macOS, the most likely symptom is that cargo build, make build-release, or make backtest stalls during build-script-build while syspolicyd uses a lot of CPU.

First retry path:

make doctor
make build-release
make backtest

Those make targets already use the repo wrapper and a stable target dir outside the repo.

If it still hangs and you do not want to reboot, the non-restart remediation is:

sudo killall syspolicyd
make build-release

If local macOS execution policy is still unhealthy, use the isolated fallback:

make docker-build
make docker-smoke

This is a local macOS executable-launch issue, not a backtester logic issue.

Additional round1 to round8 and round1-submission to round8-submission targets are included in the Makefile. They become usable once those dataset folders contain JSON files.

Isolated Verification

There is a Docker-based smoke path for isolated verification:

make docker-smoke

The Docker image builds the project in a clean container and runs the zero-argument backtest flow during image build.

Repository Layout

• src/ Rust backtester implementation
• traders/latest_trader.py bundled default trader
• traders/all_products_trader.py diagnostic trader for verifying every product surface
• datasets/tutorial/ bundled raw IMC tutorial day CSVs and sample submission log
• datasets/round1/ bundled raw IMC round 1 CSVs
• datasets/round2/ bundled raw IMC round 2 CSVs
• datasets/round3/ bundled raw IMC round 3 CSVs
• datasets/round4/ bundled raw IMC round 4 CSVs
• datasets/round5/ bundled raw IMC round 5 CSVs
• datasets/round6/ ... datasets/round8/ placeholders for future round data
• runs/ persisted outputs when --persist is used
• runs/<backtest-id>/ combined bundle for persisted multi-day runs, including combined.log and manifest.json

Licensing

Dual-licensed under:

• Apache-2.0: LICENSE-APACHE
• MIT: LICENSE-MIT