High frequency trading backtest environment?

Discussion in 'Automated Trading' started by mizhael, Jun 2, 2010.

  1. Hi folks,

    Anybody please point me to some good software that can facilitate HFT backtest on tick data?

    If such software doesn't exist, I guess we have to build one.

    I am thinking of using Matlab. Matlab's vectorized operations are no slower than C/Java/C#.

    However, the key is to setup Matlab with a good fast solid database.

    I don't have good idea on this part yet.

    Anybody had done similar work in HFT?

    Thank you!
  2. http://tradelink.googlecode.com

    * super fast tick-based backtesting (bid/ask/trade + depth supported)
    * open-source, free
    * synchronized multi-symbol portfolios
    * 250,000 ticks/second playback multi-symbol
    * easily dump simulation indicators and trades to R or matlab for analysis

  3. Do you have an example backtest?