.. 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

A Quick Example

Get a glimpse of what backtesting with hftbacktest looks like with these code snippets:

.. code-block:: python

@njit def marketmakingalgo(hbt): asset_no = 0 ticksize = hbt.depth(assetno).tick_size lotsize = hbt.depth(assetno).lot_size

# in nanoseconds while hbt.elapse(10000000) == 0: hbt.clearinactiveorders(asset_no)

a = 1 b = 1 c = 1 hs = 1

# Alpha, it can be a combination of several indicators. forecast = 0 # In HFT, it can be various measurements of short-term market movements, # such as the high-low range in the last X minutes. volatility = 0 # Delta risk, it can be a combination of several risks. position = hbt.position(asset_no) risk = (c + volatility) * position half_spread = (c + volatility) * hs

maxnotionalposition = 1000 notional_qty = 100

depth = hbt.depth(asset_no)

midprice = (depth.bestbid + depth.best_ask) / 2.0

# fair value pricing = mid_price + a * forecast # or underlying(correlated asset) + adjustment(basis + cost + etc) + a * forecast # risk skewing = -b * risk reservationprice = midprice + a forecast - b risk newbid = reservationprice - half_spread newask = reservationprice + half_spread

newbidtick = min(np.round(newbid / ticksize), depth.bestbidtick) newasktick = max(np.round(newask / ticksize), depth.bestasktick)

orderqty = np.round(notionalqty / midprice / lotsize) * lot_size

# Elapses a process time. if not hbt.elapse(1000000) != 0: return False

lastorderid = -1 update_bid = True update_ask = True buylimitexceeded = position * midprice > maxnotional_position selllimitexceeded = position * midprice < -maxnotional_position orders = hbt.orders(asset_no) order_values = orders.values() while ordervalues.hasnext(): order = order_values.get() if order.side == BUY: if order.pricetick == newbidtick or buylimit_exceeded: update_bid = False if order.cancellable and (updatebid or buylimit_exceeded): hbt.cancel(assetno, order.orderid, False) lastorderid = order.order_id elif order.side == SELL: if order.pricetick == newasktick or selllimit_exceeded: update_ask = False if order.cancellable and (updateask or selllimit_exceeded): hbt.cancel(assetno, order.orderid, False) lastorderid = order.order_id

# It can be combined with a grid trading strategy by submitting multiple orders to capture better spreads and # have queue position. # This approach requires more sophisticated logic to efficiently manage resting orders in the order book. if update_bid: # There is only one order at a given price, with newbidtick used as the order ID. orderid = newbid_tick hbt.submitbuyorder(assetno, orderid, newbidtick * ticksize, orderqty, GTX, LIMIT, False) lastorderid = order_id if update_ask: # There is only one order at a given price, with newasktick used as the order ID. orderid = newask_tick hbt.submitsellorder(assetno, orderid, newasktick * ticksize, orderqty, GTX, LIMIT, False) lastorderid = order_id

# All order requests are considered to be requested at the same time. # Waits until one of the order responses is received. if lastorderid >= 0: # Waits for the order response for a maximum of 5 seconds. timeout = 5000000_000 if not hbt.waitorderresponse(assetno, lastorder_id, timeout): return False

return True

Tutorials =========

The complete process of backtesting Binance Futures