I know that numerous backtesting tools exist. But most of them do not offer comprehensive tick-by-tick backtesting, taking latencies and order queue positions into account. Consequently, I developed a new backtesting tool that concentrates on thorough tick-by-tick backtesting while incorporating latencies, order queue positions, and complete order book reconstruction.
Key features:
- Working in Numba JIT function.
- 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.
Additional features are planned for implementation, including multi-asset backtesting and Level 3 order book functionality.
Full document: https://hftbacktest.readthedocs.io/en/latest/
