Lib.rs

示例：Binance期货完全回测过程

高频网格交易：使用在Rust中实现的高频网格交易策略进行Binance期货完全回测的过程。

安装

hftbacktest支持Python 3.10+。您可以使用pip:

pip install hftbacktest

或者您可以使用以下命令从Git仓库克隆最新开发版本：

git clone https://github.com/nkaz001/hftbacktest

数据源与格式

请参阅数据或数据准备。

快速示例

通过以下代码片段了解使用hftbacktest进行回测的概览

@njit
def simple_two_sided_quote(hbt):
    max_position = 5
    half_spread = hbt.tick_size * 20
    skew = 1
    order_qty = 0.1
    last_order_id = -1
    order_id = 0
    asset_no = 0

    # Checks every 0.1s
    while hbt.elapse(100_000_000) == 0:
        # Clears cancelled, filled or expired orders.
        hbt.clear_inactive_orders(asset_no)

        # Gets the market depth.
        depth = hbt.depth(asset_no)

        # Obtains the current mid-price and computes the reservation price.
        mid_price = (depth.best_bid + depth.best_ask) / 2.0
        reservation_price = mid_price - skew * hbt.position(asset_no) * depth.tick_size

        buy_order_price = reservation_price - half_spread
        sell_order_price = reservation_price + half_spread

        last_order_id = -1
        # Cancel all outstanding orders
        orders = hbt.orders(asset_no)
        values = orders.values()
        while True:
            order = values.next()
            if order is None:
                break
            if order.cancellable:
                hbt.cancel(asset_no, order.order_id)
                last_order_id = order.order_id

        # All order requests are considered to be requested at the same time.
        # Waits until one of the order cancellation responses is received.
        if last_order_id >= 0:
            hbt.wait_order_response(asset_no, last_order_id)

        # Clears cancelled, filled or expired orders.
        hbt.clear_inactive_orders(asset_no)

            last_order_id = -1
        if hbt.position < max_position:
            # Submits a new post-only limit bid order.
            order_id += 1
            hbt.submit_buy_order(
                asset_no,
                order_id,
                buy_order_price,
                order_qty,
                GTX,
                LIMIT,
                False
            )
            last_order_id = order_id

        if hbt.position > -max_position:
            # Submits a new post-only limit ask order.
            order_id += 1
            hbt.submit_sell_order(
                asset_no,
                order_id,
                sell_order_price,
                order_qty,
                GTX,
                LIMIT,
                False
            )
            last_order_id = order_id

        # All order requests are considered to be requested at the same time.
        # Waits until one of the order responses is received.
        if last_order_id >= 0:
            hbt.wait_order_response(asset_no, last_order_id)