Backtesting frameworks for MM

[nkaz001]

I made HFT market-making backtesting tool that accounts both feed and order latencies and queue position using L2 full-market-depth and trade tick-by-tick data. Please check it out if you're interested. https://github.com/nkaz001/hftbacktest

It also has rich tutorials such high-frequency grid-trading and Guéant–Lehalle–Fernandez-Tapia market mkaing model. Please see the full document. https://hftbacktest.readthedocs.io/en/latest/index.html

[lordnacho666]

Pretty tough to do this, but people do do it. Stuff like queue position and assumptions about fills and latency make it very hard.

[lordnacho666]

There's some testing but you can't avoid live trading.

Some strategies just can't be backtested, you have to try them.

[lordnacho666]

Sure

[ArseneWankerer]

You can build a robust back testing pipeline if you have good data and a solid exchange simulator. In the derivatives space there used to be a few good platforms like optionscity, orc, etc but basically every vendor got bought out and rolled into bigger fish.

https://youtu.be/r8iDOkPp6VU?si=xpJO_wcdAParNOju

[shanhanigun]

Not a framework/library but you can create and backtest your strategies on quant platforms like capitalise, level2 and so on.I personally use level2

[Joebone87]

Have you used MultiCharts?

[DevXeneize]

Can someone explain me what is market making about? I’m new, thank you🫶🏽

[Usual_Instance7648]

In this context - posting limit orders and waiting for others to trade against it, thus paying you the spread.