hftbacktest
by nkaz001
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Build the foundations
Suggested foundations for market microstructure and execution and trading research and honest backtests. Specialist prerequisites vary by resource.
Before you read
- Order Books
Read bid, ask, depth and queue-based market state.
- Order Flow and Adverse Selection
Understand why fills and order flow can carry information.
- Point-in-Time Data
Use only information available at the simulated decision time.
- Time-Ordered Train, Validation and Test Design
Separate model selection from the final evaluation.
Go further
- Market Impact
Connect trading speed and size to execution cost.
- Implementation Shortfall
Measure execution relative to the decision price.
- Positions, Trades, Fills and P&L
Reconcile signals, executions, positions and P&L.
Explore a related reading path
- Market making and execution
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.
- From trading ideas to honest backtests
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.