hftbacktest

Tutorials

  • Data Preparation
  • Getting Started
  • Working with Market Depth and Trades
  • Integrating Custom Data
  • Making Multiple Markets - Introduction
  • High-Frequency Grid Trading
  • High-Frequency Grid Trading - Comparison Across Other Exchanges
  • 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
  • Level-3 Backtesting
  • Market Making with Alpha - Order Book Imbalance
  • Market Making with Alpha - Basis
  • Market Making with Alpha - APT
  • Queue-Based Market Making in Large Tick Size Assets
  • Fusing Depth Data
  • Wrapping up
  • Accelerated Backtesting
  • Examples

User Guide

  • Migration To v2
  • Data
  • Latency Models
  • Order Fill
  • JIT Compilation Overhead
  • Debugging Backtesting and Live Discrepancies
  • Market Maker Program

API Reference

  • Initialization
  • Backtester
  • Constants
  • Statistics
  • Data Validation
  • Data Utilities
  • Index
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