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License: MIT License
Multi-Asset Backtesting & Simulation Engine
License: MIT License
To show what the simulator is doing, we should develop an example that shows the flow of a few trades in detail.
Add the logic of deleting orders
Add a futures-mode to the exchange
To showcase the usage for multiple currencies, we should develop a simple pairs trading strategy as an example.
First idea would be the example strategy outlined here: https://github.com/jamesmawm/High-Frequency-Trading-Model-with-IB/blob/master/models/hft_model_1.py
Utils need to be created for this too
After we run the simulator, we should show some simple PnL metrics. Since we also have in-depth data on execution, we can even calculate margins, toxicity, etc. of trades that should give more insight into the performance of the system.
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