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nkaz001 / hftbacktest

A high-frequency trading and market-making backtesting tool in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books, with real-world crypto market-making examples for Binance Futures
MIT License
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Add a set of initial FeeModels and propagate the FeeModel across hftbacktest #105

Closed roykim98 closed 1 month ago

roykim98 commented 1 month ago

Add a set of initial FeeModels and propagate the FeeModel across hftbacktest. These FeeModels could probably use some refinement, but this PR should mostly act as a no-op to use the percentage-based fee.

nkaz001 commented 1 month ago

I think other fee models can also set maker and taker fees differently.

nkaz001 commented 1 month ago

Thank you for your contribution. Before merging into the master branch, I will refactor the trivial details, and it will be included in PR #109.