-
Notifications
You must be signed in to change notification settings - Fork 371
Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
- Loading branch information
Showing
3 changed files
with
91 additions
and
14 deletions.
There are no files selected for viewing
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Original file line number | Diff line number | Diff line change |
---|---|---|
@@ -1,2 +1,41 @@ | ||
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 |