hftbacktest 0.9.4

A high-frequency trading and market-making backtesting tool accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books.
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use algo::gridtrading;
use hftbacktest::{
    live::{
        Instrument,
        LiveBot,
        LiveBotBuilder,
        LoggingRecorder,
        ipc::iceoryx::IceoryxUnifiedChannel,
    },
    prelude::{Bot, HashMapMarketDepth},
};

mod algo;

const ORDER_PREFIX: &str = "prefix";

fn prepare_live() -> LiveBot<IceoryxUnifiedChannel, HashMapMarketDepth> {
    let mut hbt = LiveBotBuilder::new()
        .register(Instrument::new(
            "binancefutures",
            "1000SHIBUSDT",
            0.000001,
            1.0,
            HashMapMarketDepth::new(0.000001, 1.0),
            0,
        ))
        .build()
        .unwrap();

    hbt
}

fn main() {
    tracing_subscriber::fmt::init();

    let mut hbt = prepare_live();

    let relative_half_spread = 0.0005;
    let relative_grid_interval = 0.0005;
    let grid_num = 10;
    let min_grid_step = 0.000001; // tick size
    let skew = relative_half_spread / grid_num as f64;
    let order_qty = 1.0;
    let max_position = grid_num as f64 * order_qty;

    let mut recorder = LoggingRecorder::new();
    gridtrading(
        &mut hbt,
        &mut recorder,
        relative_half_spread,
        relative_grid_interval,
        grid_num,
        min_grid_step,
        skew,
        order_qty,
        max_position,
    )
    .unwrap();
    hbt.close().unwrap();
}