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Show HN: Open-Sourcing High-Frequency Trading and Market-Making Backtesting Tool
(github.com)
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2 points
by nkaz001
969 days ago
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I know that numerous backtesting tools exist. But most of them do not offer comprehensive tick-by-tick backtesting, taking latencies and order queue positions into account. Consequently, I developed a new backtesting tool that concentrates on thorough tick-by-tick backtesting while incorporating latencies, order queue positions, and complete order book reconstruction. Key features: - Working in Numba JIT function. - Complete tick-by-tick simulation with a variable time interval. - Full order book reconstruction based on L2 feeds(Market-By-Price). - Backtest accounting for both feed and order latency, using provided models or your own custom model. - Order fill simulation that takes into account the order queue position, using provided models or your own custom model. Additional features are planned for implementation, including multi-asset backtesting and Level 3 order book functionality. Full document: https://hftbacktest.readthedocs.io/en/latest/ |
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