Show HN: High-frequency trading and market-making backtesting tool with examples
The GitHub URL leads to the "HftBacktest" project, a Rust framework for high-frequency trading. It offers detailed simulation, order book reconstruction, latency considerations, multi-asset backtesting, and live trading bot deployment.
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The GitHub URL provided pertains to the "HftBacktest" project, a Rust framework tailored for creating and executing high-frequency trading and market-making strategies. Key features of the project include detailed tick-by-tick simulation with customizable time intervals, comprehensive order book reconstruction using L2 Market-By-Price and L3 Market-By-Order feeds, backtesting accounting for feed and order latency, order fill simulation considering queue position, backtesting of multi-asset and multi-exchange models, and the ability to deploy a live trading bot using the same algorithm code. For further details, examples, documentation, and the project roadmap, you can refer to the GitHub repository at the provided link.
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9 commentsThe quantitative trading posts on here typically just scratch the surface, but I have to say that I'm impressed with this one. Thanks for sharing!
I have a story to tell, anonymizing the actors: I had an appointment to have dinner with a friend who works in cybersecurity at a top hedge fund in NY. Before we entered the restaurant, he received a call because a link with Hong Kong was failing. I told him that I assumed our dinner would be canceled, but somehow the issue was solved in 10 minutes. In this context, I understand that if HFT could be done using any Internet connection, there would not have been any issue there.
There is no high-frequency trading in the cryptocurrencies world. It's medium frequency trading at best.
These cryptocurrencies exchanges (really broker+exchange mixed as one) aren't serving the data feed anywhere near quickly enough nor executing orders quickly enough to approach HFT.
Firm doing HFT are co-locating near the exchange and using direct data feeds, at times using algorithms running on FPGA. Stuff like that.
That's HFT.
What's shown for Binance/Bybit is simply not HFT.
Why?
BACKtesting is not comparable to real market scenarios.
What you should do before going live, is a so call Walk-Forward-Test - if this version shows your profits, then launch.
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