hftbacktest
Tutorials
Data Preparation
Getting Started
Working with Market Depth and Trades
Integrating Custom Data
Making Multiple Markets - Introduction
High-Frequency Grid Trading
Impact of Order Latency
Order Latency Data
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
Migration To v2
Data
Latency Models
Order Fill
JIT Compilation Overhead
Debugging Backtesting and Live Discrepancies
API Reference
Initialization
Backtester
Constants
Statistics
Data Validation
Data Utilities
Index
hftbacktest
Index
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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N
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O
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P
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Q
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R
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S
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T
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U
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V
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W
A
ALL_ASSETS (in module hftbacktest.types)
AnnualRet (class in hftbacktest.stats)
ask_depth (ROIVectorMarketDepth property)
ask_qty_at_tick() (HashMapMarketDepth method)
(ROIVectorMarketDepth method)
B
BacktestAsset (class in hftbacktest)
best_ask (HashMapMarketDepth property)
(ROIVectorMarketDepth property)
best_ask_tick (HashMapMarketDepth property)
(ROIVectorMarketDepth property)
best_bid (HashMapMarketDepth property)
(ROIVectorMarketDepth property)
best_bid_tick (HashMapMarketDepth property)
(ROIVectorMarketDepth property)
bid_depth (ROIVectorMarketDepth property)
bid_qty_at_tick() (HashMapMarketDepth method)
(ROIVectorMarketDepth method)
BUY (in module hftbacktest.order)
BUY_EVENT (in module hftbacktest.types)
C
cancel() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
CANCELED (in module hftbacktest.order)
cancellable (Order property)
class_type (DiffOrderBookSnapshot attribute)
clear_inactive_orders() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
clear_last_trades() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
close() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
constant_latency() (BacktestAsset method)
contract_size() (InverseAssetRecord method)
(LinearAssetRecord method)
convert() (in module hftbacktest.data.utils.binancefutures)
(in module hftbacktest.data.utils.binancehistmktdata)
(in module hftbacktest.data.utils.databento)
(in module hftbacktest.data.utils.migration2)
(in module hftbacktest.data.utils.tardis)
convert_depth() (in module hftbacktest.data.utils.tardis)
convert_snapshot() (in module hftbacktest.data.utils.binancehistmktdata)
correct_event_order() (in module hftbacktest.data)
correct_local_timestamp() (in module hftbacktest.data)
create_last_snapshot() (in module hftbacktest.data.utils.snapshot)
current_timestamp (HashMapMarketDepthBacktest property)
(ROIVectorMarketDepthBacktest property)
D
daily() (InverseAssetRecord method)
(LinearAssetRecord method)
DailyNumberOfTrades (class in hftbacktest.stats)
DailyTradingValue (class in hftbacktest.stats)
DailyTradingVolume (class in hftbacktest.stats)
data() (BacktestAsset method)
depth() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
DEPTH_CLEAR_EVENT (in module hftbacktest.types)
DEPTH_EVENT (in module hftbacktest.types)
DEPTH_SNAPSHOT_EVENT (in module hftbacktest.types)
DiffOrderBookSnapshot (class in hftbacktest.data.utils.difforderbooksnapshot)
E
elapse() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
elapse_bt() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
EXCH_EVENT (in module hftbacktest.types)
exch_timestamp (Order property)
exec_price (Order property)
exec_price_tick (Order property)
exec_qty (Order property)
EXPIRED (in module hftbacktest.order)
F
feed_latency() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
FILLED (in module hftbacktest.order)
flat_per_trade_fee_model() (BacktestAsset method)
FOK (in module hftbacktest.order)
G
get() (OrderDict method)
GTC (in module hftbacktest.order)
GTX (in module hftbacktest.order)
H
HashMapMarketDepth (class in hftbacktest.binding)
HashMapMarketDepthBacktest (class in hftbacktest.binding)
HashMapMarketDepthBacktest() (in module hftbacktest)
hftbacktest.data
module
hftbacktest.data.utils.binancefutures
module
hftbacktest.data.utils.binancehistmktdata
module
hftbacktest.data.utils.databento
module
hftbacktest.data.utils.difforderbooksnapshot
module
hftbacktest.data.utils.migration2
module
hftbacktest.data.utils.snapshot
module
hftbacktest.data.utils.tardis
module
I
initial_snapshot() (BacktestAsset method)
intp_order_latency() (BacktestAsset method)
inverse_asset() (BacktestAsset method)
InverseAssetRecord (class in hftbacktest.stats)
IOC (in module hftbacktest.order)
L
l2() (BacktestAsset method)
l3() (BacktestAsset method)
l3_fifo_queue_model() (BacktestAsset method)
last_trades() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
last_trades_capacity() (BacktestAsset method)
latency_offset() (BacktestAsset method)
leaves_qty (Order property)
LIMIT (in module hftbacktest.order)
linear_asset() (BacktestAsset method)
LinearAssetRecord (class in hftbacktest.stats)
LOCAL_EVENT (in module hftbacktest.types)
local_timestamp (Order property)
log_prob_queue_model() (BacktestAsset method)
log_prob_queue_model2() (BacktestAsset method)
lot_size (HashMapMarketDepth property)
(ROIVectorMarketDepth property)
lot_size() (BacktestAsset method)
M
MARKET (in module hftbacktest.order)
MaxDrawdown (class in hftbacktest.stats)
MaxLeverage (class in hftbacktest.stats)
MaxPositionValue (class in hftbacktest.stats)
MeanPositionValue (class in hftbacktest.stats)
MedianPositionValue (class in hftbacktest.stats)
Metric (class in hftbacktest.stats)
module
hftbacktest.data
hftbacktest.data.utils.binancefutures
hftbacktest.data.utils.binancehistmktdata
hftbacktest.data.utils.databento
hftbacktest.data.utils.difforderbooksnapshot
hftbacktest.data.utils.migration2
hftbacktest.data.utils.snapshot
hftbacktest.data.utils.tardis
monthly() (InverseAssetRecord method)
(LinearAssetRecord method)
N
NEW (in module hftbacktest.order)
no_partial_fill_exchange() (BacktestAsset method)
NONE (in module hftbacktest.order)
num_assets (HashMapMarketDepthBacktest property)
(ROIVectorMarketDepthBacktest property)
NumberOfTrades (class in hftbacktest.stats)
O
Order (class in hftbacktest.order)
order_id (Order property)
order_latency() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
order_type (Order property)
OrderDict (class in hftbacktest.binding)
orders() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
P
parallel_load() (BacktestAsset method)
partial_fill_exchange() (BacktestAsset method)
PARTIALLY_FILLED (in module hftbacktest.order)
plot() (Stats method)
position() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
power_prob_queue_model() (BacktestAsset method)
power_prob_queue_model2() (BacktestAsset method)
power_prob_queue_model3() (BacktestAsset method)
price (Order property)
price_tick (Order property)
Q
qty (Order property)
R
REJECTED (in module hftbacktest.order)
req (Order property)
resample() (InverseAssetRecord method)
(LinearAssetRecord method)
Ret (class in hftbacktest.stats)
ReturnOverMDD (class in hftbacktest.stats)
ReturnOverTrade (class in hftbacktest.stats)
risk_adverse_queue_model() (BacktestAsset method)
roi_lb() (BacktestAsset method)
roi_ub() (BacktestAsset method)
ROIVectorMarketDepth (class in hftbacktest.binding)
ROIVectorMarketDepthBacktest (class in hftbacktest.binding)
ROIVectorMarketDepthBacktest() (in module hftbacktest)
S
SELL (in module hftbacktest.order)
SELL_EVENT (in module hftbacktest.types)
side (Order property)
Sortino (class in hftbacktest.stats)
SR (class in hftbacktest.stats)
state_values() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
Stats (class in hftbacktest.stats)
stats() (InverseAssetRecord method)
(LinearAssetRecord method)
status (Order property)
submit_buy_order() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
submit_sell_order() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
summary() (Stats method)
T
tick_size (HashMapMarketDepth property)
(Order property)
(ROIVectorMarketDepth property)
tick_size() (BacktestAsset method)
time_in_force (Order property)
time_unit() (InverseAssetRecord method)
(LinearAssetRecord method)
TRADE_EVENT (in module hftbacktest.types)
trading_qty_fee_model() (BacktestAsset method)
trading_value_fee_model() (BacktestAsset method)
TradingValue (class in hftbacktest.stats)
TradingVolume (class in hftbacktest.stats)
U
UNTIL_END_OF_DATA (in module hftbacktest.types)
V
validate_event_order() (in module hftbacktest.data)
values() (OrderDict method)
W
wait_next_feed() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)
wait_order_response() (HashMapMarketDepthBacktest method)
(ROIVectorMarketDepthBacktest method)