zinhoo/hftbacktest

high frequency trading backtesting tool of limit orders and queue position modeling with latencies based on full trade and order book tick data

HftBacktest

Implementation of high-frequency trading backtesting tool that takes order's queue and latencies into account based on full tick data as described in http://www.math.ualberta.ca/~cfrei/PIMS/Almgren5.pdf

Getting started

pip install hftbacktest

Data Source & Format

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

Example

Please see example directory.