hftbacktest

Paste this into your AI agent. Write the first line, or take a suggestion; the copy carries your words.

Source: https://github.com/nkaz001/hftbacktest — clone it and read its README and examples before writing anything; its documented setup beats what you remember.
Stack: a Rust engine with Python bindings (Numba JIT), doing full order-book reconstruction from Level-2/Level-3 feed data with configurable latency and queue-position fill models.
Needs: Python 3.11+, and your own Level-2 or Level-3 market-by-price/order tick data (or a sample set from the project's supporter-hosted data).
Start: `pip install hftbacktest`, then work through the Getting Started tutorial before adapting the market-making example to my own data.
Limit: it replays full order-book and trade tick feeds, not bars — the data preparation step is the real cost of entry.
Done means: you show me the backtest result for the example market-making algorithm against sample or my own tick data.
Never place a live order. Paper or testnet until I say live in this chat.
Before you start, ask me: which exchange and instrument I'm targeting, and whether I already have Level-2/Level-3 tick data or need the sample set.