Index

A

ALL_ASSETS (in module hftbacktest.types) AnnualRet (class in hftbacktest.stats)

ask_depth (ROIVectorMarketDepth property) ask_qty_at_tick() (HashMapMarketDepth method) (ROIVectorMarketDepth method)

B

BacktestAsset (class in hftbacktest) best_ask (HashMapMarketDepth property) (ROIVectorMarketDepth property) best_ask_tick (HashMapMarketDepth property) (ROIVectorMarketDepth property) best_bid (HashMapMarketDepth property) (ROIVectorMarketDepth property)

best_bid_tick (HashMapMarketDepth property) (ROIVectorMarketDepth property) bid_depth (ROIVectorMarketDepth property) bid_qty_at_tick() (HashMapMarketDepth method) (ROIVectorMarketDepth method) BUY (in module hftbacktest.order) BUY_EVENT (in module hftbacktest.types)

C

cancel() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method) CANCELED (in module hftbacktest.order) cancellable (Order property) class_type (DiffOrderBookSnapshot attribute) clear_inactive_orders() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method) clear_last_trades() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method) close() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method) constant_latency() (BacktestAsset method) contract_size() (InverseAssetRecord method) (LinearAssetRecord method)

convert() (in module hftbacktest.data.utils.binancefutures) (in module hftbacktest.data.utils.binancehistmktdata) (in module hftbacktest.data.utils.databento) (in module hftbacktest.data.utils.migration2) (in module hftbacktest.data.utils.tardis) convert_depth() (in module hftbacktest.data.utils.tardis) convert_snapshot() (in module hftbacktest.data.utils.binancehistmktdata) correct_event_order() (in module hftbacktest.data) correct_local_timestamp() (in module hftbacktest.data) create_last_snapshot() (in module hftbacktest.data.utils.snapshot) current_timestamp (HashMapMarketDepthBacktest property) (ROIVectorMarketDepthBacktest property)

D

daily() (InverseAssetRecord method) (LinearAssetRecord method) DailyNumberOfTrades (class in hftbacktest.stats) DailyTradingValue (class in hftbacktest.stats) DailyTradingVolume (class in hftbacktest.stats) data() (BacktestAsset method)

depth() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method) DEPTH_CLEAR_EVENT (in module hftbacktest.types) DEPTH_EVENT (in module hftbacktest.types) DEPTH_SNAPSHOT_EVENT (in module hftbacktest.types) DiffOrderBookSnapshot (class in hftbacktest.data.utils.difforderbooksnapshot)

E

elapse() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method) elapse_bt() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method) EXCH_EVENT (in module hftbacktest.types)

exch_timestamp (Order property) exec_price (Order property) exec_price_tick (Order property) exec_qty (Order property) EXPIRED (in module hftbacktest.order)

F

feed_latency() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method)

FILLED (in module hftbacktest.order) flat_per_trade_fee_model() (BacktestAsset method) FOK (in module hftbacktest.order)

G

get() (OrderDict method)

GTC (in module hftbacktest.order) GTX (in module hftbacktest.order)

H

HashMapMarketDepth (class in hftbacktest.binding) HashMapMarketDepthBacktest (class in hftbacktest.binding) HashMapMarketDepthBacktest() (in module hftbacktest) hftbacktest.data module hftbacktest.data.utils.binancefutures module hftbacktest.data.utils.binancehistmktdata module

hftbacktest.data.utils.databento module hftbacktest.data.utils.difforderbooksnapshot module hftbacktest.data.utils.migration2 module hftbacktest.data.utils.snapshot module hftbacktest.data.utils.tardis module

I

initial_snapshot() (BacktestAsset method) intp_order_latency() (BacktestAsset method)

inverse_asset() (BacktestAsset method) InverseAssetRecord (class in hftbacktest.stats) IOC (in module hftbacktest.order)

L

l2() (BacktestAsset method) l3() (BacktestAsset method) l3_fifo_queue_model() (BacktestAsset method) last_trades() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method) last_trades_capacity() (BacktestAsset method) latency_offset() (BacktestAsset method) leaves_qty (Order property) LIMIT (in module hftbacktest.order)

linear_asset() (BacktestAsset method) LinearAssetRecord (class in hftbacktest.stats) LOCAL_EVENT (in module hftbacktest.types) local_timestamp (Order property) log_prob_queue_model() (BacktestAsset method) log_prob_queue_model2() (BacktestAsset method) lot_size (HashMapMarketDepth property) (ROIVectorMarketDepth property) lot_size() (BacktestAsset method)

M

MARKET (in module hftbacktest.order) MaxDrawdown (class in hftbacktest.stats) MaxLeverage (class in hftbacktest.stats) MaxPositionValue (class in hftbacktest.stats) MeanPositionValue (class in hftbacktest.stats) MedianPositionValue (class in hftbacktest.stats) Metric (class in hftbacktest.stats) module hftbacktest.data hftbacktest.data.utils.binancefutures hftbacktest.data.utils.binancehistmktdata hftbacktest.data.utils.databento hftbacktest.data.utils.difforderbooksnapshot hftbacktest.data.utils.migration2 hftbacktest.data.utils.snapshot hftbacktest.data.utils.tardis

monthly() (InverseAssetRecord method) (LinearAssetRecord method)

N

NEW (in module hftbacktest.order) no_partial_fill_exchange() (BacktestAsset method) NONE (in module hftbacktest.order)

num_assets (HashMapMarketDepthBacktest property) (ROIVectorMarketDepthBacktest property) NumberOfTrades (class in hftbacktest.stats)

O

Order (class in hftbacktest.order) order_id (Order property) order_latency() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method)

order_type (Order property) OrderDict (class in hftbacktest.binding) orders() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method)

P

parallel_load() (BacktestAsset method) partial_fill_exchange() (BacktestAsset method) PARTIALLY_FILLED (in module hftbacktest.order) plot() (Stats method) position() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method)

power_prob_queue_model() (BacktestAsset method) power_prob_queue_model2() (BacktestAsset method) power_prob_queue_model3() (BacktestAsset method) price (Order property) price_tick (Order property)

Q

qty (Order property)

R

REJECTED (in module hftbacktest.order) req (Order property) resample() (InverseAssetRecord method) (LinearAssetRecord method) Ret (class in hftbacktest.stats) ReturnOverMDD (class in hftbacktest.stats)

ReturnOverTrade (class in hftbacktest.stats) risk_adverse_queue_model() (BacktestAsset method) roi_lb() (BacktestAsset method) roi_ub() (BacktestAsset method) ROIVectorMarketDepth (class in hftbacktest.binding) ROIVectorMarketDepthBacktest (class in hftbacktest.binding) ROIVectorMarketDepthBacktest() (in module hftbacktest)

S

SELL (in module hftbacktest.order) SELL_EVENT (in module hftbacktest.types) side (Order property) Sortino (class in hftbacktest.stats) SR (class in hftbacktest.stats) state_values() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method) Stats (class in hftbacktest.stats)

stats() (InverseAssetRecord method) (LinearAssetRecord method) status (Order property) submit_buy_order() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method) submit_sell_order() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method) summary() (Stats method)

T

tick_size (HashMapMarketDepth property) (Order property) (ROIVectorMarketDepth property) tick_size() (BacktestAsset method) time_in_force (Order property) time_unit() (InverseAssetRecord method) (LinearAssetRecord method)

TRADE_EVENT (in module hftbacktest.types) trading_qty_fee_model() (BacktestAsset method) trading_value_fee_model() (BacktestAsset method) TradingValue (class in hftbacktest.stats) TradingVolume (class in hftbacktest.stats)

U

UNTIL_END_OF_DATA (in module hftbacktest.types)

V

validate_event_order() (in module hftbacktest.data)

values() (OrderDict method)

W

wait_next_feed() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method)

wait_order_response() (HashMapMarketDepthBacktest method) (ROIVectorMarketDepthBacktest method)