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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
1.78k stars 358 forks source link

cumulative returns of strategy incl fee is higher than strategy excl fee? #43

Closed quant2008 closed 11 months ago

quant2008 commented 11 months ago

In High-Frequency Grid Trading.ipynb, shows: image

Just wonder why cumulative returns of strategy incl fee is higher than strategy excl fee? I think that strategy incl fee is strategy with fee, which should has less cumulative returns.

quant2008 commented 11 months ago

got it. fee is negtive means rebate.