Realistic Backtester for Perpetual Futures (Part 1/2) (With Code)

A guide to writing a realistic market simulator for Crypto perpetual futures.

Table of Contents

Part 1:

• Introduction

• Simulator/backtester architecture

• Preparing the data

• Simulating a single market

• Simulating market orders

Part 2:

• Simulating trading costs

• Simulating funding

• Simulating many markets

• Finish

• Subscriber materials (source code)

Introduction

In the last article, we looked at how markets work and at simulating them in theory.

Today we w…