HFT

Repo for HFT project in CMF

Quick start:

Load data using load_md_from_file function:

md = load_md_from_file(path=PATH_TO_FILE, nrows=NROWS)

Specify simulation latency and md_latency in nanoseconds:

latency = pd.Timedelta(10, 'ms').delta
md_latency = pd.Timedelta(10, 'ms').delta

Create simulator object:

sim = Sim(md, latency, md_latency)

Specify strategy parameters:

delay = pd.Timedelta(0.1, 's').delta
hold_time = pd.Timedelta(10, 's').delta

Create strategy object

strategy = BestPosStrategy(delay, hold_time)

Run simulation:

trades_list, md_list, updates_list, all_orders = strategy.run(sim)

Simulation results:

trades_list(List[OwnTrade]): list of executed trades
md_list(List[MdUpdate]): list of market data received by strategy
updates_list(List[Union[OwnTrade, MdUpdate]]): list of all updates received by strategy(market data and information about executed trades)
all_orders(List[Orted]): list of all placed orders

Use get_pnl_funciton to get PnL and info about positions in USD and BTC

df = get_pnl(updates_list)
PnL = df.total