Open-Sourcing High-Frequency Trading and Market Making Backtest Tool

Check out this backtesting tool I've been working on. It's all about tick-by-tick backtesting that includes latencies, order queue positions, and a thorough reconstruction of the order book. This framework is tailored for crafting high-frequency trading and market-making strategies. It really takes into account feed and order latencies, plus the order queue position to simulate how orders get filled. The goal is to offer a more precise market replay for backtesting using complete order book and trade tick feed data. There have been loads of updates already. Some of the main features include: - Full tick-by-tick simulation with options for customizable time intervals or based on feed and order timestamps. - Complete order book reconstruction, using L2 Market-By-Price and L3 Market-By-Order feeds, which is still a work in progress. - Backtesting that considers both feed and order latency, with the ability to use the provided models or your own. - Order fill simulation that factors in the order queue position, again using either provided models or a custom one. - Support for multi-asset and multi-exchange backtesting. - You can even deploy a live trading bot using the same code as your algorithm, currently available for Binance Futures and Bybit. Here are some useful tutorials: - High-Frequency Grid Trading: https://hftbacktest.readthedocs.io/en/latest/tutorials/High-Frequency%20Grid%20Trading%20-%20Comparison%20Across%20Other%20Exchanges.html - Market Making with Alpha Order Book Imbalance: