TradingReality

Is this supposed ro help with latency?

This is fascinating. I'm checking it out now. We're doing something that you might want on your radar at ordersim: github.com/tradingexpert/ordersim. It's an inspectable, deterministic execution simulator for replaying real order-book data, with a Python-facing API and equivalent Python/C++ execution engines.

Most backtests collapse execution into a final PnL line. ordersim exists to inspect the path between order intent and actual fills.

Interesting! What kind of complex problems does it troubleshoot?

Fascinating article. Does the algo take into account issues like latency, order fill reality, and other real-time, real-world market conditions?

Very interesting. In HFT, do you consider things like how queue position, hidden liquidity, venue rules, and partial fills affect the trade - real world conditions? I'm interested in hearing how traders (even algo traders) deal with these conditions that can't typically be simulated in backtesting.

I wonder how much of her work was based on live execution conditions like liquidity, transaction costs, order flow, latency, market participants, and other operational constraints?