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CryptoQuantEngine v1.0.0

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@caped-doshi caped-doshi released this 23 Aug 15:14
· 22 commits to main since this release
v1.0.0
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CryptoQuantEngine v1.0.0 Release Notes

Overview

CryptoQuantEngine v1.0.0 is the first stable release of a high-performance C++ backtesting engine for high-frequency trading (HFT) strategies on Level 2 crypto market data. This release provides a robust foundation for research, development, and evaluation of market-making and liquidity-taking strategies.

Key Features

  • Full Depth-of-Book Simulation

    • Accurate order book reconstruction from market-by-price Level 2 feeds.
    • Queue position tracking for realistic passive order fills.

  • Configurable Latency Models

    • Simulate order entry, order response, and market data latency for realistic backtests.

  • Order Management

    • Support for limit and market orders, cancelation, and order status tracking.
    • Realistic order matching and probabilistic fill simulation.

  • Performance Metrics & Analytics

    • Automated calculation of Sharpe ratio, Sortino ratio, and max drawdown.
    • Comprehensive trading statistics: number of trades, volume, value.

  • Modular, Extensible Architecture

    • Strategy interface for custom trading logic.
    • Easy integration of new strategies and analytics.

  • Automated Plotting

    • CSV export and Python-based visualization of equity, position, and price.

  • Unit Testing

    • Extensive Catch2-based tests for reliability and correctness.

Getting Started

  • C++20 compiler and CMake 3.12+ required.
  • Python 3.7+ with matplotlib and pandas for plotting.
  • See README.md and Usage Guide for build and usage instructions.

Example Strategies

  • Grid trading strategy included as a reference implementation.
  • See Examples for details.

Extensibility

  • Implement custom strategies by inheriting from the Strategy class.
  • Access market data and order management via the BacktestEngine.

License

MIT License. See LICENSE for details.

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