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45 changes: 35 additions & 10 deletions README.rst
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|codacy| |codeql| |pypi| |downloads| |license| |docs| |github|

High-Frequency Trading Backtesting Tool in Python
====================================================================
=================================================

This Python framework is designed for developing high-frequency trading and market-making strategies. It focuses on accounting for both feed and order latencies, as well as the order queue position for order fill simulation. The framework aims to provide more accurate market replay-based backtesting, based on full order book and trade tick feed data.

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Tutorials
=========
- `Data Preparation <https://hftbacktest.readthedocs.io/en/latest/tutorials/Data%20Preparation.html>`_
- `Getting Started <https://hftbacktest.readthedocs.io/en/latest/tutorials/Getting%20Started.html>`_
- `Working with Market Depth and Trades <https://hftbacktest.readthedocs.io/en/latest/tutorials/Working%20with%20Market%20Depth%20and%20Trades.html>`_
- `Integrating Custom Data <https://hftbacktest.readthedocs.io/en/latest/tutorials/Integrating%20Custom%20Data.html>`_
- `High-Frequency Grid Trading <https://hftbacktest.readthedocs.io/en/latest/tutorials/High-Frequency%20Grid%20Trading.html>`_
- `Impact of Order Latency <https://hftbacktest.readthedocs.io/en/latest/tutorials/Impact%20of%20Order%20Latency.html>`_
- `Guéant–Lehalle–Fernandez-Tapia Market Making Model and Grid Trading <https://hftbacktest.readthedocs.io/en/latest/tutorials/GLFT%20Market%20Making%20Model%20and%20Grid%20Trading.html>`_
- `Making Multiple Markets <https://hftbacktest.readthedocs.io/en/latest/tutorials/Making%20Multiple%20Markets.html>`_
* `Data Preparation <https://hftbacktest.readthedocs.io/en/latest/tutorials/Data%20Preparation.html>`_
* `Getting Started <https://hftbacktest.readthedocs.io/en/latest/tutorials/Getting%20Started.html>`_
* `Working with Market Depth and Trades <https://hftbacktest.readthedocs.io/en/latest/tutorials/Working%20with%20Market%20Depth%20and%20Trades.html>`_
* `Integrating Custom Data <https://hftbacktest.readthedocs.io/en/latest/tutorials/Integrating%20Custom%20Data.html>`_
* `High-Frequency Grid Trading <https://hftbacktest.readthedocs.io/en/latest/tutorials/High-Frequency%20Grid%20Trading.html>`_
* `Impact of Order Latency <https://hftbacktest.readthedocs.io/en/latest/tutorials/Impact%20of%20Order%20Latency.html>`_
* `Guéant–Lehalle–Fernandez-Tapia Market Making Model and Grid Trading <https://hftbacktest.readthedocs.io/en/latest/tutorials/GLFT%20Market%20Making%20Model%20and%20Grid%20Trading.html>`_
* `Making Multiple Markets <https://hftbacktest.readthedocs.io/en/latest/tutorials/Making%20Multiple%20Markets.html>`_
* `Risk Mitigation through Price Protection in Extreme Market Conditions <https://hftbacktest.readthedocs.io/en/latest/tutorials/Risk%20Mitigation%20through%20Price%20Protection%20in%20Extreme%20Market%20Conditions.html>`_

Examples
========

You can find more examples in `examples <https://github.com/nkaz001/hftbacktest/tree/master/examples>`_ directory.

Experimental features
=====================

The experimental features are currently in the early stages of development, having been completely rewritten in Rust to
support the following features.

* Backtesting of multi-asset and multi-exchange models
* Deployment of a live trading bot using the same algo code.

Please see `rust <https://github.com/nkaz001/hftbacktest/tree/master/rust>`_ directory.

Contributing
============

Thank you for considering contributing to hftbacktest! Welcome any and all help to improve the project. If you have an
idea for an enhancement or a bug fix, please open an issue or discussion on GitHub to discuss it.

The following items are examples of contributions you can make to this project:

* Improve performance statistics reporting
* Implement test code
* Add additional queue or exchange models
* Update documentation and examples
* Implement a live bot connector

.. |python| image:: https://img.shields.io/pypi/pyversions/hftbacktest.svg?style=plastic
:alt: Python Version
:target: https://badge.fury.io/py/tensorflow
:target: https://badge.fury.io/py/hftbacktest

.. |codacy| image:: https://app.codacy.com/project/badge/Grade/e2cef673757a45b18abfc361779feada
:alt: Codacy
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17 changes: 15 additions & 2 deletions docs/index.rst
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|codacy| |codeql| |pypi| |downloads| |license| |docs| |github|

High-Frequency Trading Backtesting Tool in Python
====================================================================
=================================================

This Python framework is designed for developing high-frequency trading and market-making strategies. It focuses on accounting for both feed and order latencies, as well as the order queue position for order fill simulation. The framework aims to provide more accurate market replay-based backtesting, based on full order book and trade tick feed data.

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You can find more examples in `examples <https://github.com/nkaz001/hftbacktest/tree/master/examples>`_ directory.

Contributing
============

Thank you for considering contributing to hftbacktest! Welcome any and all help to improve the project. If you have an
idea for an enhancement or a bug fix, please open an issue or discussion on GitHub to discuss it.

The following items are examples of contributions you can make to this project:

* Improve performance statistics reporting
* Implement test code
* Add additional queue or exchange models
* Update documentation and examples

.. |python| image:: https://img.shields.io/pypi/pyversions/hftbacktest.svg?style=plastic
:alt: Python Version
:target: https://badge.fury.io/py/tensorflow
:target: https://badge.fury.io/py/hftbacktest

.. |codacy| image:: https://app.codacy.com/project/badge/Grade/e2cef673757a45b18abfc361779feada
:alt: Codacy
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43 changes: 41 additions & 2 deletions rust/README.rst
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This project is currently in its initial development stages, meaning that breaking changes may occur without prior notice.
The live bot feature has not undergone comprehensive testing yet; therefore, it must be used at your own risk.
===========
HftBacktest
===========

**This project is currently in its initial development stages, meaning that breaking changes may occur without prior
notice. The live bot feature has not undergone comprehensive testing yet; therefore, it must be used at your own risk.**

High-Frequency Trading Backtesting and Live Bot in Rust
=======================================================

This Rust framework is designed for developing and running high-frequency trading and market-making strategies. It
focuses on accounting for both feed and order latencies, as well as the order queue position for order fill simulation.
The framework aims to provide more accurate market replay-based backtesting, based on full order book and trade tick
feed data. You can also run the live bot using the same algo code.

Key Features
============

* Complete tick-by-tick simulation with a variable time interval.
* Full order book reconstruction based on L2 feeds(Market-By-Price).
* Backtest accounting for both feed and order latency, using provided models or your own custom model.
* Order fill simulation that takes into account the order queue position, using provided models or your own custom model.

The following features are only provided in Rust implementation:

* Backtesting of multi-asset and multi-exchange models
* Deployment of a live trading bot using the same algo code

Contributing
============

Thank you for considering contributing to hftbacktest! Welcome any and all help to improve the project. If you have an
idea for an enhancement or a bug fix, please open an issue or discussion on GitHub to discuss it.

The following items are examples of contributions you can make to this project:

* Improve performance statistics reporting
* Implement test code
* Add additional queue or exchange models
* Update documentation and examples
* Implement a live bot connector

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