From 640c3dc75ca967bb7be9f7aca2b00cf6d4a09f9a Mon Sep 17 00:00:00 2001 From: nkaz001 Date: Thu, 14 Mar 2024 07:41:46 -0400 Subject: [PATCH] docs: update readme. --- README.rst | 45 +++++++++++++++++++++++++++++++++++---------- docs/index.rst | 17 +++++++++++++++-- rust/README.rst | 43 +++++++++++++++++++++++++++++++++++++++++-- 3 files changed, 91 insertions(+), 14 deletions(-) diff --git a/README.rst b/README.rst index 33c5ded..950b9e4 100644 --- a/README.rst +++ b/README.rst @@ -5,7 +5,7 @@ HftBacktest |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. @@ -122,24 +122,49 @@ Get a glimpse of what backtesting with hftbacktest looks like with these code sn Tutorials ========= -- `Data Preparation `_ -- `Getting Started `_ -- `Working with Market Depth and Trades `_ -- `Integrating Custom Data `_ -- `High-Frequency Grid Trading `_ -- `Impact of Order Latency `_ -- `Guéant–Lehalle–Fernandez-Tapia Market Making Model and Grid Trading `_ -- `Making Multiple Markets `_ +* `Data Preparation `_ +* `Getting Started `_ +* `Working with Market Depth and Trades `_ +* `Integrating Custom Data `_ +* `High-Frequency Grid Trading `_ +* `Impact of Order Latency `_ +* `Guéant–Lehalle–Fernandez-Tapia Market Making Model and Grid Trading `_ +* `Making Multiple Markets `_ +* `Risk Mitigation through Price Protection in Extreme Market Conditions `_ Examples ======== You can find more examples in `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 `_ 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 diff --git a/docs/index.rst b/docs/index.rst index d61af5a..48aea94 100644 --- a/docs/index.rst +++ b/docs/index.rst @@ -13,7 +13,7 @@ HftBacktest |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. @@ -130,9 +130,22 @@ Examples You can find more examples in `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 diff --git a/rust/README.rst b/rust/README.rst index af66462..a6be4ea 100644 --- a/rust/README.rst +++ b/rust/README.rst @@ -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. \ No newline at end of file +=========== +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