hftbacktest
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Tutorials
Data Preparation
Getting Started
Working with Market Depth and Trades
Integrating Custom Data
High-Frequency Grid Trading
Impact of Order Latency
Guéant–Lehalle–Fernandez-Tapia Market Making Model and Grid Trading
Making Multiple Markets
Probability Queue Position Models
Risk Mitigation through Price Protection in Extreme Market Conditions
Examples
User Guide
Data
Latency Models
Order Fill
JIT Compilation Overhead
Debugging Backtesting and Live Discrepancies
API Reference
Initialization
Backtester
Asset Types
Order Latency Models
Queue Models
Stat
Data Validation
Data Utilities
Index
hftbacktest
Index
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Index
A
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B
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C
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D
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E
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F
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G
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H
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I
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L
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M
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O
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P
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R
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S
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T
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V
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W
A
annualised_return() (Stat method)
ask_depth (SingleAssetHftBacktest property)
B
BackwardFeedLatency (class in hftbacktest.models.latencies)
balance (SingleAssetHftBacktest property)
best_ask (SingleAssetHftBacktest property)
best_ask_tick (SingleAssetHftBacktest property)
best_bid (SingleAssetHftBacktest property)
best_bid_tick (SingleAssetHftBacktest property)
bid_depth (SingleAssetHftBacktest property)
C
cancel() (SingleAssetHftBacktest method)
class_type (DiffOrderBookSnapshot attribute)
clear_inactive_orders() (SingleAssetHftBacktest method)
clear_last_trades() (SingleAssetHftBacktest method)
ConstantLatency (class in hftbacktest.models.latencies)
convert() (in module hftbacktest.data.utils.binancefutures)
(in module hftbacktest.data.utils.binancehistmktdata)
(in module hftbacktest.data.utils.tardis)
convert_snapshot() (in module hftbacktest.data.utils.binancehistmktdata)
convert_to_struct_arr() (in module hftbacktest.data.validation)
correct() (in module hftbacktest.data.validation)
correct_event_order() (in module hftbacktest.data.validation)
correct_exch_timestamp() (in module hftbacktest.data.validation)
correct_exch_timestamp_adjust() (in module hftbacktest.data.validation)
correct_local_timestamp() (in module hftbacktest.data.validation)
create_last_snapshot() (in module hftbacktest.data.utils.snapshot)
current_timestamp (SingleAssetHftBacktest attribute)
D
daily_trade_amount() (Stat method)
daily_trade_num() (Stat method)
daily_trade_volume() (Stat method)
datetime() (Stat method)
DiffOrderBookSnapshot (class in hftbacktest.data.utils.difforderbooksnapshot)
drawdown() (Stat method)
E
elapse() (SingleAssetHftBacktest method)
equity (SingleAssetHftBacktest property)
equity() (Stat method)
F
FeedLatency (class in hftbacktest.models.latencies)
ForwardFeedLatency (class in hftbacktest.models.latencies)
G
get_user_data() (SingleAssetHftBacktest method)
goto() (SingleAssetHftBacktest method)
H
HftBacktest() (in module hftbacktest)
hftbacktest.data.utils.binancefutures
module
hftbacktest.data.utils.binancehistmktdata
module
hftbacktest.data.utils.difforderbooksnapshot
module
hftbacktest.data.utils.snapshot
module
hftbacktest.data.utils.tardis
module
hftbacktest.data.validation
module
high_ask_tick (SingleAssetHftBacktest property)
I
IdentityProbQueueModel (class in hftbacktest.models.queue)
IntpOrderLatency (class in hftbacktest.models.latencies)
InverseAsset (class in hftbacktest.assettype)
L
last_trade (SingleAssetHftBacktest property)
last_trades (SingleAssetHftBacktest property)
LinearAsset (class in hftbacktest.assettype)
LogProbQueueModel (class in hftbacktest.models.queue)
LogProbQueueModel2 (class in hftbacktest.models.queue)
lot_size (SingleAssetHftBacktest property)
low_bid_tick (SingleAssetHftBacktest property)
M
maxdrawdown() (Stat method)
merge_on_local_timestamp() (in module hftbacktest.data)
mid (SingleAssetHftBacktest property)
modify() (SingleAssetHftBacktest method)
module
hftbacktest.data.utils.binancefutures
hftbacktest.data.utils.binancehistmktdata
hftbacktest.data.utils.difforderbooksnapshot
hftbacktest.data.utils.snapshot
hftbacktest.data.utils.tardis
hftbacktest.data.validation
O
orders (SingleAssetHftBacktest property)
P
position (SingleAssetHftBacktest property)
PowerProbQueueModel (class in hftbacktest.models.queue)
PowerProbQueueModel2 (class in hftbacktest.models.queue)
PowerProbQueueModel3 (class in hftbacktest.models.queue)
ProbQueueModel (class in hftbacktest.models.queue)
ProbQueueModel2 (class in hftbacktest.models.queue)
ProbQueueModel3 (class in hftbacktest.models.queue)
R
record() (Recorder method)
Recorder (class in hftbacktest.stat)
recorder (Stat property)
reset() (in module hftbacktest)
RiskAverseQueueModel (class in hftbacktest.models.queue)
riskreturnratio() (Stat method)
run (SingleAssetHftBacktest attribute)
S
sharpe() (Stat method)
SingleAssetHftBacktest (class in hftbacktest.backtest)
sortino() (Stat method)
SquareProbQueueModel (class in hftbacktest.models.queue)
Stat (class in hftbacktest.stat)
submit_buy_order() (SingleAssetHftBacktest method)
submit_sell_order() (SingleAssetHftBacktest method)
summary() (Stat method)
T
tick_size (SingleAssetHftBacktest property)
V
validate_data() (in module hftbacktest.data.validation)
W
wait_next_feed() (SingleAssetHftBacktest method)
wait_order_response() (SingleAssetHftBacktest method)
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