===========
HftBacktest
===========
|codacy| |codeql| |pypi| |downloads| |license| |docs| |github|
High-Frequency Trading Backtesting Tool
=======================================
This 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.
Rust implementation with 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.
Key Features
============
* Working in `Numba <https://numba.pydata.org/>`_ JIT function.
* 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.
Documentation
=============
See `full document here <https://hftbacktest.readthedocs.io/>`_.
Getting started
===============
Installation
------------
hftbacktest supports Python 3.10+. You can install hftbacktest using ``pip``:
.. code-block:: console
pip install hftbacktest
Or you can clone the latest development version from the Git repository with:
.. code-block:: console
git clone https://github.com/nkaz001/hftbacktest
Data Source & Format
--------------------
Please see `Data <https://hftbacktest.readthedocs.io/en/latest/data.html>`_ or `Data Preparation <https://hftbacktest.readthedocs.io/en/latest/tutorials/Data%20Preparation.html>`_.
A Quick Example
---------------
Get a glimpse of what backtesting with hftbacktest looks like with these code snippets:
.. code-block:: python
@njit
def simple_two_sided_quote(hbt, stat):
max_position = 5
half_spread = hbt.tick_size * 20
skew = 1
order_qty = 0.1
last_order_id = -1
order_id = 0
# Checks every 0.1s
while hbt.elapse(100_000):
# Clears cancelled, filled or expired orders.
hbt.clear_inactive_orders()
# Obtains the current mid-price and computes the reservation price.
mid_price = (hbt.best_bid + hbt.best_ask) / 2.0
reservation_price = mid_price - skew * hbt.position * hbt.tick_size
buy_order_price = reservation_price - half_spread
sell_order_price = reservation_price + half_spread
last_order_id = -1
# Cancel all outstanding orders
for order in hbt.orders.values():
if order.cancellable:
hbt.cancel(order.order_id)
last_order_id = order.order_id
# All order requests are considered to be requested at the same time.
# Waits until one of the order cancellation responses is received.
if last_order_id >= 0:
hbt.wait_order_response(last_order_id)
# Clears cancelled, filled or expired orders.
hbt.clear_inactive_orders()
last_order_id = -1
if hbt.position < max_position:
# Submits a new post-only limit bid order.
order_id += 1
hbt.submit_buy_order(
order_id,
buy_order_price,
order_qty,
GTX
)
last_order_id = order_id
if hbt.position > -max_position:
# Submits a new post-only limit ask order.
order_id += 1
hbt.submit_sell_order(
order_id,
sell_order_price,
order_qty,
GTX
)
last_order_id = order_id
# All order requests are considered to be requested at the same time.
# Waits until one of the order responses is received.
if last_order_id >= 0:
hbt.wait_order_response(last_order_id)
# Records the current state for stat calculation.
stat.record(hbt)
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>`_
* `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.
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/hftbacktest
.. |codacy| image:: https://app.codacy.com/project/badge/Grade/e2cef673757a45b18abfc361779feada
:alt: Codacy
:target: https://www.codacy.com/gh/nkaz001/hftbacktest/dashboard?utm_source=github.com&utm_medium=referral&utm_content=nkaz001/hftbacktest&utm_campaign=Badge_Grade
.. |codeql| image:: https://github.com/nkaz001/hftbacktest/actions/workflows/codeql.yml/badge.svg?branch=master&event=push
:alt: CodeQL
:target: https://github.com/nkaz001/hftbacktest/actions/workflows/codeql.yml
.. |pypi| image:: https://badge.fury.io/py/hftbacktest.svg
:alt: Package Version
:target: https://pypi.org/project/hftbacktest
.. |downloads| image:: https://static.pepy.tech/badge/hftbacktest
:alt: Downloads
:target: https://pepy.tech/project/hftbacktest
.. |license| image:: https://img.shields.io/badge/License-MIT-green.svg
:alt: License
:target: https://github.com/nkaz001/hftbacktest/blob/master/LICENSE
.. |docs| image:: https://readthedocs.org/projects/hftbacktest/badge/?version=latest
:target: https://hftbacktest.readthedocs.io/en/latest/?badge=latest
:alt: Documentation Status
.. |github| image:: https://img.shields.io/github/stars/nkaz001/hftbacktest?style=social
:target: https://github.com/nkaz001/hftbacktest
:alt: Github
Raw data
{
"_id": null,
"home_page": "https://github.com/nkaz001/hftbacktest",
"name": "hftbacktest",
"maintainer": null,
"docs_url": null,
"requires_python": ">=3.10",
"maintainer_email": null,
"keywords": "hft, high-frequency trading, trading, market-making, backtest",
"author": "nkaz001",
"author_email": "nkaz001@protonmail.com",
"download_url": "https://files.pythonhosted.org/packages/59/ec/4f6bdcdacf9aef72965829d32930fc935b1e665e69b432ec014a78033b78/hftbacktest-1.8.1.tar.gz",
"platform": null,
"description": "===========\nHftBacktest\n===========\n\n|codacy| |codeql| |pypi| |downloads| |license| |docs| |github|\n\nHigh-Frequency Trading Backtesting Tool\n=======================================\n\nThis 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.\n\nRust implementation with experimental features\n==============================================\n\nThe experimental features are currently in the early stages of development, having been completely rewritten in Rust to\nsupport the following features.\n\n* Backtesting of multi-asset and multi-exchange models\n* Deployment of a live trading bot using the same algo code.\n\nPlease see `rust <https://github.com/nkaz001/hftbacktest/tree/master/rust>`_ directory.\n\nKey Features\n============\n\n* Working in `Numba <https://numba.pydata.org/>`_ JIT function.\n* Complete tick-by-tick simulation with a variable time interval.\n* Full order book reconstruction based on L2 feeds(Market-By-Price).\n* Backtest accounting for both feed and order latency, using provided models or your own custom model.\n* Order fill simulation that takes into account the order queue position, using provided models or your own custom model.\n\nDocumentation\n=============\n\nSee `full document here <https://hftbacktest.readthedocs.io/>`_.\n\nGetting started\n===============\n\nInstallation\n------------\n\nhftbacktest supports Python 3.10+. You can install hftbacktest using ``pip``:\n\n.. code-block:: console\n\n pip install hftbacktest\n\nOr you can clone the latest development version from the Git repository with:\n\n.. code-block:: console\n\n git clone https://github.com/nkaz001/hftbacktest\n\nData Source & Format\n--------------------\n\nPlease see `Data <https://hftbacktest.readthedocs.io/en/latest/data.html>`_ or `Data Preparation <https://hftbacktest.readthedocs.io/en/latest/tutorials/Data%20Preparation.html>`_.\n\nA Quick Example\n---------------\n\nGet a glimpse of what backtesting with hftbacktest looks like with these code snippets:\n\n.. code-block:: python\n\n @njit\n def simple_two_sided_quote(hbt, stat):\n max_position = 5\n half_spread = hbt.tick_size * 20\n skew = 1\n order_qty = 0.1\n last_order_id = -1\n order_id = 0\n\n # Checks every 0.1s\n while hbt.elapse(100_000):\n # Clears cancelled, filled or expired orders.\n hbt.clear_inactive_orders()\n\n # Obtains the current mid-price and computes the reservation price.\n mid_price = (hbt.best_bid + hbt.best_ask) / 2.0\n reservation_price = mid_price - skew * hbt.position * hbt.tick_size\n\n buy_order_price = reservation_price - half_spread\n sell_order_price = reservation_price + half_spread\n\n last_order_id = -1\n # Cancel all outstanding orders\n for order in hbt.orders.values():\n if order.cancellable:\n hbt.cancel(order.order_id)\n last_order_id = order.order_id\n\n # All order requests are considered to be requested at the same time.\n # Waits until one of the order cancellation responses is received.\n if last_order_id >= 0:\n hbt.wait_order_response(last_order_id)\n\n # Clears cancelled, filled or expired orders.\n hbt.clear_inactive_orders()\n\n\t last_order_id = -1\n if hbt.position < max_position:\n # Submits a new post-only limit bid order.\n order_id += 1\n hbt.submit_buy_order(\n order_id,\n buy_order_price,\n order_qty,\n GTX\n )\n last_order_id = order_id\n\n if hbt.position > -max_position:\n # Submits a new post-only limit ask order.\n order_id += 1\n hbt.submit_sell_order(\n order_id,\n sell_order_price,\n order_qty,\n GTX\n )\n last_order_id = order_id\n\n # All order requests are considered to be requested at the same time.\n # Waits until one of the order responses is received.\n if last_order_id >= 0:\n hbt.wait_order_response(last_order_id)\n\n # Records the current state for stat calculation.\n stat.record(hbt)\n\nTutorials\n=========\n* `Data Preparation <https://hftbacktest.readthedocs.io/en/latest/tutorials/Data%20Preparation.html>`_\n* `Getting Started <https://hftbacktest.readthedocs.io/en/latest/tutorials/Getting%20Started.html>`_\n* `Working with Market Depth and Trades <https://hftbacktest.readthedocs.io/en/latest/tutorials/Working%20with%20Market%20Depth%20and%20Trades.html>`_\n* `Integrating Custom Data <https://hftbacktest.readthedocs.io/en/latest/tutorials/Integrating%20Custom%20Data.html>`_\n* `High-Frequency Grid Trading <https://hftbacktest.readthedocs.io/en/latest/tutorials/High-Frequency%20Grid%20Trading.html>`_\n* `Impact of Order Latency <https://hftbacktest.readthedocs.io/en/latest/tutorials/Impact%20of%20Order%20Latency.html>`_\n* `Gu\u00e9ant\u2013Lehalle\u2013Fernandez-Tapia Market Making Model and Grid Trading <https://hftbacktest.readthedocs.io/en/latest/tutorials/GLFT%20Market%20Making%20Model%20and%20Grid%20Trading.html>`_\n* `Making Multiple Markets <https://hftbacktest.readthedocs.io/en/latest/tutorials/Making%20Multiple%20Markets.html>`_\n* `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>`_\n\nExamples\n========\n\nYou can find more examples in `examples <https://github.com/nkaz001/hftbacktest/tree/master/examples>`_ directory.\n\nContributing\n============\n\nThank you for considering contributing to hftbacktest! Welcome any and all help to improve the project. If you have an\nidea for an enhancement or a bug fix, please open an issue or discussion on GitHub to discuss it.\n\nThe following items are examples of contributions you can make to this project:\n\n* Improve performance statistics reporting\n* Implement test code\n* Add additional queue or exchange models\n* Update documentation and examples\n* Implement a live bot connector\n\n.. |python| image:: https://img.shields.io/pypi/pyversions/hftbacktest.svg?style=plastic\n :alt: Python Version\n :target: https://badge.fury.io/py/hftbacktest\n\n.. |codacy| image:: https://app.codacy.com/project/badge/Grade/e2cef673757a45b18abfc361779feada\n :alt: Codacy\n :target: https://www.codacy.com/gh/nkaz001/hftbacktest/dashboard?utm_source=github.com&utm_medium=referral&utm_content=nkaz001/hftbacktest&utm_campaign=Badge_Grade\n\n.. |codeql| image:: https://github.com/nkaz001/hftbacktest/actions/workflows/codeql.yml/badge.svg?branch=master&event=push\n :alt: CodeQL\n :target: https://github.com/nkaz001/hftbacktest/actions/workflows/codeql.yml\n\n.. |pypi| image:: https://badge.fury.io/py/hftbacktest.svg\n :alt: Package Version\n :target: https://pypi.org/project/hftbacktest\n\n.. |downloads| image:: https://static.pepy.tech/badge/hftbacktest\n :alt: Downloads\n :target: https://pepy.tech/project/hftbacktest\n\n.. |license| image:: https://img.shields.io/badge/License-MIT-green.svg\n :alt: License\n :target: https://github.com/nkaz001/hftbacktest/blob/master/LICENSE\n\n.. |docs| image:: https://readthedocs.org/projects/hftbacktest/badge/?version=latest\n :target: https://hftbacktest.readthedocs.io/en/latest/?badge=latest\n :alt: Documentation Status\n\n.. |github| image:: https://img.shields.io/github/stars/nkaz001/hftbacktest?style=social\n :target: https://github.com/nkaz001/hftbacktest\n :alt: Github\n",
"bugtrack_url": null,
"license": "MIT",
"summary": "High-frequency trading and market making backtesting tool",
"version": "1.8.1",
"project_urls": {
"Docs": "https://hftbacktest.readthedocs.io/en/latest/",
"GitHub: issues": "https://github.com/nkaz001/hftbacktest/issues",
"GitHub: repo": "https://github.com/nkaz001/hftbacktest",
"Homepage": "https://github.com/nkaz001/hftbacktest"
},
"split_keywords": [
"hft",
" high-frequency trading",
" trading",
" market-making",
" backtest"
],
"urls": [
{
"comment_text": "",
"digests": {
"blake2b_256": "59ec4f6bdcdacf9aef72965829d32930fc935b1e665e69b432ec014a78033b78",
"md5": "f387018992f161270c5441c6fbc9e66b",
"sha256": "ff3ad087f03b20027c10a48dc10f214cde3cfc9ab7a12b6cca4a552b16e2e3f5"
},
"downloads": -1,
"filename": "hftbacktest-1.8.1.tar.gz",
"has_sig": false,
"md5_digest": "f387018992f161270c5441c6fbc9e66b",
"packagetype": "sdist",
"python_version": "source",
"requires_python": ">=3.10",
"size": 45027,
"upload_time": "2024-04-24T14:34:39",
"upload_time_iso_8601": "2024-04-24T14:34:39.226174Z",
"url": "https://files.pythonhosted.org/packages/59/ec/4f6bdcdacf9aef72965829d32930fc935b1e665e69b432ec014a78033b78/hftbacktest-1.8.1.tar.gz",
"yanked": false,
"yanked_reason": null
}
],
"upload_time": "2024-04-24 14:34:39",
"github": true,
"gitlab": false,
"bitbucket": false,
"codeberg": false,
"github_user": "nkaz001",
"github_project": "hftbacktest",
"travis_ci": false,
"coveralls": false,
"github_actions": true,
"lcname": "hftbacktest"
}
JSON
