Backtesting that accounts for feed latency, order latency, and queue position

githubprojects@opensourceprojects.dev (githubprojects) · Sep 7, 2026 · via Open Source Projects · 1 min read

Open original ↗

nkaz001/hftbacktest

★ 4.7K⑂ 897

Free, open source, a high frequency trading and market making backtesting and trading bot, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books(Level-2 and Level-3), with real-world crypto trading examples for Binance and Bybit

RustMIT#algorithmic-trading#algotrading#backtesting#backtesting-engine#backtesting-trading-strategies#binance
View on GitHub ↗
You've built a market making strategy. The backtest looks great—profit curves climbing smoothly, Sharpe ratios that make you smile. Then you run it live and watch the P&L bleed out in real time. What happened? Chances are your backtest assumed your orders filled the moment they hit the exchange. In ... GitHub Repository: https://github.com/nkaz001/hftbacktest

Rendered from the publisher's own feed content.

Comments

Sign in to join the discussion.