Crate hftbacktest

HftBacktest

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.
• Backtesting of multi-asset and multi-exchange models
• Deployment of a live trading bot using the same algo code

Feature flags

Currently, default enables all features.

• backtest: Enables backtesting features.
• live: Enables a live trading bot.
• binancefutures: Enables Binance Futures USDM connector for a live trading bot.

Modules

• backtest
  Provides backtesting features.
• connector
  Provides exchange connectors.
• depth
  Provides market depth implementations.
• live
  Provides live trading bot features.
• prelude
  Provides common types.
• types
  Defines HftBacktest types.
• util
  Provides utility functions.