Expand description
L2 Backtesting Framework for HFT/MFT strategies
A high-performance backtesting engine with realistic order matching, latency simulation, and conservative modeling for harsh market conditions.
Re-exports§
pub use adapters::BinanceTardisAdapter;pub use adapters::KrxA3B6G7Adapter;pub use adapters::KrxA3B6G7Event;pub use adapters::KrxA3B6G7Iterator;pub use adapters::TardisL2Event;pub use adapters::TardisL2Iterator;pub use engine::BacktestConfig;pub use engine::BacktestEngine;pub use engine::Event;pub use engine::MarketDataEvent;pub use engine::OrderEvent;pub use engine::Strategy;pub use features::FeatureCalculator;pub use features::MicrostructuralFeatures;pub use features::OrderBookSnapshot;pub use features::TradeTick;pub use latency::FixedLatency;pub use latency::GaussianLatency;pub use latency::LatencyModel;pub use latency::UniformLatency;pub use matching::ConservativeParams;pub use matching::Execution;pub use matching::MarketImpact;pub use matching::MatchingEngine;pub use matching::Order;pub use matching::OrderSide;pub use matching::OrderType;pub use matching::QueueModel;pub use orderbook::Level;pub use orderbook::OrderBook;pub use parallel::MarketDataProvider;pub use parallel::ParallelConfig;pub use parallel::ParallelEngine;pub use parallel::ParallelStrategy;pub use parallel::SymbolConfig;pub use simd_enhanced::EnhancedSimdOps;
Modules§
- adapters
- Exchange Data Adapters
- engine
- L2 Backtesting Engine - Simple, accurate, and fastAdd commentMore actions
- features
- Advanced Microstructural Feature Engine
- latency
- Simple Latency Models - Clean and accurate latency simulation
- matching
- L2 Matching Engine - Realistic order matching with queue position modeling
- orderbook
- L2 Order Book - Simple, accurate, and efficient
- parallel
- Parallel L2 Backtesting - Multi-symbol parallel execution with rayon
- prelude
- Prelude module for convenient imports of commonly used types and traits.
- simd_
enhanced - Enhanced SIMD Operations for High-Frequency Trading
Structs§
- Backtest
Result - The result of a backtest.
- Simd
Aligned Buffer - Re-export the unified 64-byte aligned buffer type