Show HN: Open-Sourcing High-Frequency Trading and Market-Making Backtesting Tool

2 points

3 years ago

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/