Update docs

nkaz001 · Apr 30, 2023 · 8cee2ff · 8cee2ff
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Showing 13 changed files with 2,963 additions and 115 deletions.
diff --git a/README.rst b/README.rst
@@ -62,11 +62,8 @@ Get a glimpse of what backtesting with hftbacktest looks like with these code sn
         last_order_id = -1
         order_id = 0
 
-        while hbt.run:
-            # Checks every 0.1s
-            if not hbt.elapse(0.1 * 1e6):
-                return False
-
+        # Checks every 0.1s
+        while hbt.elapse(100_000):
             # Clears cancelled, filled or expired orders.
             hbt.clear_inactive_orders()
 
@@ -92,7 +89,7 @@ Get a glimpse of what backtesting with hftbacktest looks like with these code sn
             # Clears cancelled, filled or expired orders.
             hbt.clear_inactive_orders()
 
-	    last_order_id = -1
+	        last_order_id = -1
             if hbt.position < max_position:
                 # Submits a new post-only limit bid order.
                 order_id += 1
@@ -122,7 +119,6 @@ Get a glimpse of what backtesting with hftbacktest looks like with these code sn
 
             # Records the current state for stat calculation.
             stat.record(hbt)
-        return True
 
     
 Examples

diff --git a/docs/conf.py b/docs/conf.py
@@ -21,7 +21,7 @@
 author = 'nkaz001'
 
 # The full version, including alpha/beta/rc tags
-release = '1.5.3'
+release = '1.5.4'
 
 
 # -- General configuration ---------------------------------------------------

diff --git a/docs/index.rst b/docs/index.rst
@@ -63,15 +63,12 @@ Get a glimpse of what backtesting with hftbacktest looks like with these code sn
         last_order_id = -1
         order_id = 0
 
-        while hbt.run:
-            # Check every 0.1s
-            if not hbt.elapse(0.1 * 1e6):
-                return False
-
-            # Clear cancelled, filled or expired orders.
+        # Checks every 0.1s
+        while hbt.elapse(100_000):
+            # Clears cancelled, filled or expired orders.
             hbt.clear_inactive_orders()
 
-            # Obtain the current mid-price and compute the reservation price.
+            # Obtains the current mid-price and computes the reservation price.
             mid_price = (hbt.best_bid + hbt.best_ask) / 2.0
             reservation_price = mid_price - skew * hbt.position * hbt.tick_size
 
@@ -86,16 +83,16 @@ Get a glimpse of what backtesting with hftbacktest looks like with these code sn
                     last_order_id = order.order_id
 
             # All order requests are considered to be requested at the same time.
-            # Wait until one of the order cancellation responses is received.
+            # Waits until one of the order cancellation responses is received.
             if last_order_id >= 0:
                 hbt.wait_order_response(last_order_id)
 
-            # Clear cancelled, filled or expired orders.
+            # Clears cancelled, filled or expired orders.
             hbt.clear_inactive_orders()
 
-	    last_order_id = -1
+	        last_order_id = -1
             if hbt.position < max_position:
-                # Submit a new post-only limit bid order.
+                # Submits a new post-only limit bid order.
                 order_id += 1
                 hbt.submit_buy_order(
                     order_id,
@@ -106,7 +103,7 @@ Get a glimpse of what backtesting with hftbacktest looks like with these code sn
                 last_order_id = order_id
 
             if hbt.position > -max_position:
-                # Submit a new post-only limit ask order.
+                # Submits a new post-only limit ask order.
                 order_id += 1
                 hbt.submit_sell_order(
                     order_id,
@@ -117,13 +114,12 @@ Get a glimpse of what backtesting with hftbacktest looks like with these code sn
                 last_order_id = order_id
 
             # All order requests are considered to be requested at the same time.
-            # Wait until one of the order responses is received.
+            # Waits until one of the order responses is received.
             if last_order_id >= 0:
                 hbt.wait_order_response(last_order_id)
 
-            # Record the current state for stat calculation.
+            # Records the current state for stat calculation.
             stat.record(hbt)
-        return True
 
 
 Examples
@@ -164,7 +160,10 @@ You can find more examples in `examples <https://github.com/nkaz001/hftbacktest/
    tutorials/Getting Started
    tutorials/Working with Market Depth and Trades
    tutorials/Integrating Custom Data
+   tutorials/High-Frequency Grid Trading
+   tutorials/Impact of Order Latency
    tutorials/GLFT Market Making Model and Grid Trading
+   tutorials/Making Multiple Markets
    tutorials/examples
 
 .. toctree::

diff --git a/docs/tutorials/GLFT Market Making Model and Grid Trading.ipynb b/docs/tutorials/GLFT Market Making Model and Grid Trading.ipynb
diff --git a/docs/tutorials/High-Frequency Grid Trading.ipynb b/docs/tutorials/High-Frequency Grid Trading.ipynb
diff --git a/docs/tutorials/Impact of Order Latency.ipynb b/docs/tutorials/Impact of Order Latency.ipynb