hftbacktest
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nkaz001
A high-frequency trading and market-making backtesting tool in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books.
the data in the examples like 'data/ethusdt_20221003.npz', 'data/ethusdt_20221004.npz', 'data/ethusdt_20221005.npz', 'data/ethusdt_20221006.npz', 'data/ethusdt_20221007.npz'
TL;DR: Feature request: progress bar for backtesting. What I did: 1. Downloaded data using https://github.com/nkaz001/collect-binancefutures 2. Tried to run https://github.com/nkaz001/hftbacktest/blob/master/examples/Market%20Making%20with%20Alpha%20-%20Order%20Book%20Imbalance.ipynb on my dataset. 3. `obi_mm(hbt, ...)` became silent after the...
Hi, I am trying to run the Getting Started notebook and I am getting the following error: thread '' panicked at py-hftbacktest[/src/lib.rs:400:20](http://localhost:8891/src/lib.rs#line=399): called `Result::unwrap()` on an `Err` value: Os {...
I am currently using your framework for cryptocurrency trading backtesting. My arbitrage strategy requires only the `depth`, `bookticker`, and `trade` data, and does not need the `snapshot` data. Could you...
Hi! Amazing work putting this together. I've been following the Rust port from a distance for a month or so and I'm finally getting my feet wet with hftbacktest :)....
hi @nkaz001 , i am new to this framwork, and plan to move my backtest to this framework. 1. Can you give some examples which import L2 snapshot data and...
De-duplicates the event reading/data management code contained within each processor and delegates it to the `Backtester` to handle. Standalone version of the changes in https://github.com/nkaz001/hftbacktest/pull/124, but without any of the...
When a strategy opens a short position, the short position value is added directly to the balance. How to distinguish between available balance and frozen balance in backtesting?
When testing my strategy, I found that there was an error in submitting multiple orders when opening a position. When printing the order details, I found that exch_timestamp was always...