Backtesting Platform

S

ScoobyStoo

Hi everyone,

Does anyone out there have any recommendations for a quality backtesting software package? I don't need any fancy charts etc. It just needs to provide an interface which allows me to replay market data (both L1 and L2) to my strategy and handle generated orders, produce execution reports etc etc. You know, all the usual stuff. Would also be advantageous if the fill logic could be customised to allow for both optimistic and pessimistic scenarios to be evaluated.

Been using the market replay functionality in Ninja up until now but have become really fed up with the limitations that their order management logic imposes. I know NT7 is supposed to allow overriding of the order management logic but I can't see that being released before 2020. Plus, I hate the Ninja API more than words can express.

Any thoughts?

Thanks in advance.
 
Quote from ScoobyStoo:

Hi everyone,

Does anyone out there have any recommendations for a quality backtesting software package? I don't need any fancy charts etc. It just needs to provide an interface which allows me to replay market data (both L1 and L2) to my strategy and handle generated orders, produce execution reports etc etc. You know, all the usual stuff. Would also be advantageous if the fill logic could be customised to allow for both optimistic and pessimistic scenarios to be evaluated.

Been using the market replay functionality in Ninja up until now but have become really fed up with the limitations that their order management logic imposes. I know NT7 is supposed to allow overriding of the order management logic but I can't see that being released before 2020. Plus, I hate the Ninja API more than words can express.

Any thoughts?

Thanks in advance.
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It seems you need a trading simulator rather than a backtesting program the way it often discussed in these threads.
 
tradelink has both a market replay program (replay) and two pure backtesting programs (kadina and gauntlet).

http://tradelink.googlecode.com

all programs supports filling all types of orders. It uses last price, but tradelink is open source so you could easily customize it to other fill modes.

it's tick-based and very fast, 250k ticks/sec.
 
Quote from tradelink:

tradelink has both a market replay program (replay) and two pure backtesting programs (kadina and gauntlet).

http://tradelink.googlecode.com

all programs supports filling all types of orders. It uses last price, but tradelink is open source so you could easily customize it to other fill modes.

it's tick-based and very fast, 250k ticks/sec.
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Looks interesting.

Does it handle replaying L2 order book data as well as L1?

250k events/sec is a good speed. Ninja is hopeless when you are replaying an instrument such as the TF for which the ICE publish 64 levels of market depth. That amount of L2 data just grinds it to a near halt.

Will have a look. Is it under active development? I know a lot of the old open source trading apps have been left dead in the water.

Thanks a lot.
 
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