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nkaz001 · Feb 14, 2024 · 3269334 · 3269334
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diff --git a/docs/conf.py b/docs/conf.py
@@ -19,7 +19,7 @@
 # -- Project information -----------------------------------------------------
 
 project = 'hftbacktest'
-copyright = '2023, nkaz001'
+copyright = '2024, nkaz001'
 author = 'nkaz001'
 
 # The full version, including alpha/beta/rc tags

diff --git a/docs/debugging_backtesting_and_live_discrepancies.rst b/docs/debugging_backtesting_and_live_discrepancies.rst
@@ -0,0 +1,36 @@
+Debugging Backtesting and Live Discrepancies
+============================================
+
+Plotting both live and backtesting values on a single chart is a good initial step. It's strongly recommended to include
+the equity curve and position plots for comparison purposes. Additionally, visualizing your alpha, order prices, etc can
+facilitate the identification of discrepancies.
+
+[Image]
+
+If the backtested strategy is correctly implemented in live trading, two significant factors may contribute to any
+observed discrepancies.
+
+1. Latency:
+Latency, encompassing both feed and order latency, plays a crucial role in ensuring accurate backtesting results. It's
+highly recommended to collect data yourself to accurately measure feed latency on your end. Alternatively, if obtaining
+data from external sources, it's essential to verify that the feed latency aligns with your latency.
+
+Order latency, measured from your end, can be collected by logging order actions or regularly submitting orders away
+from the mid-price and subsequently canceling them to measure and record order latency.
+
+It's still possible to artificially decrease latencies to assess improvements in strategy performance due to enhanced
+latency. This allows you to evaluate the effectiveness of higher-tier programs or liquidity provider programs, as well
+as quantify the impact of investments made in infrastructure improvement. Understanding whether a superior
+infrastructure provides a competitive advantage is beneficial.
+
+2. Queue Model:
+Selecting an appropriate queue model that accurately reflects live trading results is essential. You can either develop
+your own queue model or utilize existing ones. Hftbacktest offers three primary queue models such as PowerProbQueueModel
+series, allowing for adjustments to align with your results. For further information, refer to
+`ProbQueueModel <https://hftbacktest.readthedocs.io/en/latest/order_fill.html#probqueuemodel>`_.
+
+One crucial point to bear in mind is the backtesting conducted under the assumption of no market impact. A market order,
+or a limit order that take liquidity, can introduce discrepancies, as it may cause market impact and consequently make
+execution simulation difficult. Moreover, if your limit order size is too large, partial fills and their market impact
+can also lead to discrepancies. It's advisable to begin trading with a small size and align the results first. Gradually
+increasing your trading size while observing both live and backtesting results is recommended.
diff --git a/docs/index.rst b/docs/index.rst
@@ -187,6 +187,7 @@ You can find more examples in `examples <https://github.com/nkaz001/hftbacktest/
    Latency Models <latency_models>
    Order Fill <order_fill>
    JIT Compilation Overhead <jit_compilation_overhead>
+   Debugging Backtesting and Live Discrepancies <debugging_backtesting_and_live_discrepancies>
 
 .. toctree::
    :maxdepth: 2

diff --git a/docs/order_fill.rst b/docs/order_fill.rst
@@ -275,6 +275,24 @@ LogProbQueueModel2
         asset_type=Linear
     )
 
+PowerProbQueueModel2
+~~~~~~~~~~~~~~~~~~~~
+
+..  code-block:: python
+
+    from hftbacktest import PowerProbQueueModel2
+
+    hbt = HftBacktest(
+        data,
+        tick_size=0.01,
+        lot_size=0.001,
+        maker_fee=-0.00005,
+        taker_fee=0.0007,
+        order_latency=IntpOrderLatency(latency_data),
+        queue_model=PowerProbQueueModel2(3)
+        asset_type=Linear
+    )
+
 ProbQueueModel3
 ---------------
 This model is a variation of the `ProbQueueModel`_ that changes the probability calculation to

diff --git a/docs/reference/queue_models.rst b/docs/reference/queue_models.rst
@@ -31,6 +31,10 @@ Queue Models
     :members:
     :show-inheritance:
 
+.. autoclass:: hftbacktest.models.queue.PowerProbQueueModel2
+    :members:
+    :show-inheritance:
+
 .. autoclass:: hftbacktest.models.queue.ProbQueueModel3
     :members:
     :show-inheritance: