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

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

(Part 2)

In Part 1, we wrote a basic event-driven simulator/backtester using candle data. In this Part 2, we extend it to make the simulator realistic by adding costs and funding. We also add support for simulating an arbitrary number of markets simultaneously.

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)

Simulating Trading Costs