HftBacktest

High-frequency trading and market-making backtesting tool that takes order queues and latencies into account based on full order book and trade tick data.

Getting started

Installation

pip install hftbacktest

Data Source & Format

Please see https://github.com/nkaz001/collect-binancefutures regarding collecting and converting the feed data.

Examples

Please see example directory.

Documentation

• Data
• Latency model
• Order fill