Here at GDA, we recognise the inherent problems with existing strategy testing methods that exist in our industry. They’re clunky, based on low-resolution data, and fail to reflect the market effect on the trade and vice versa. GDA’s next-generation strategy testing environment solves each of these problems. It will become the superior strategy testing method employed by all institutional traders where there is no risk to their capital or intellectual property.
Binance - v1.0 released
FTX, Bybit, Coinbase, OKex, Phemex, Kraken, Kucoin - (Spot, Futures, Perpetual) - 15th Feb 2022
Uniswap, dYdX, PancakeSwap, Sushiswap, 1inchexchange, Perpetual Protocol - (Spot, Perpetual, SP/F) - 26th Feb 2022
This testing environment has been designed with HFT and quantitative traders in mind. However, it is not limited to just HFT. ANY trading strategy can be implemented and tested.
It is a virtual exchange that simulates the order book and its events from real exchanges, purpose made to enable the development of programmable risk management for traders, and comprehensive risk profiles for quants.
The core value proposition of this tool is to offer a testing environment that simulates trades as accurately as possible to a real-world environment. This will provide users with a robust and accurate understanding of strategies and promote rapid strategy development. Our atomic level data allows for the testing of advanced trading strategies that can’t be properly evaluated with existing techniques, such as scalp trading, market making, or arbitrage - if you can implement your strategy on a real exchange, you can implement it here.
The virtual exchange includes an order book, users, API connectivity and other standard exchange features. Every order book event is captured at a frequency ranging from 5ms to 100ms depending on the exchange and includes additional data such as funding rate and maker/taker fees.
Virtual Exchange Powered Backtesting Core
By powering our testing environment with an exchange, enables us to incorporate a high-definition order book, and provides unprecedented functionality in testing strategies.
Atomic Level Order Book Data
By using data from GDA’s data lake, the order book on the virtual exchange can have the highest fidelity data. This allows HFT strategies to be tested, as well as all other forms of strategies.
Besides order book data, funding rate and maker/taker fee data will also be incorporated into the backtesting core. Traders can include this additional data in their strategies, allowing for programmable risk management and making them more capital efficient.
Bots as Users
Virtual trade execution of GDA strategies is done by implementing bots as users on the virtual exchange. Trade instructions are received through the API connectivity and then the bots can execute the trade on the virtual order book.
All user activity — such as balances, orders and trade history — on the virtual exchange is logged and recorded. These logs are accessible to users for easy performance evaluation.
Having admin control of the platform allows users to be given virtual capital to trade with. All trading on this backtesting platform is done with virtual capital meaning there is no risk to traders’ own funds.
The platform will feature TradingView’s GUI to provide additional functionality such as the display of buy and sell orders, configured FBR, WCM, VHW and ELV technical charts, as well as configured volume and liquidity clusters.
Visualisations are exportable to our ACPRI tool for machine learning-aided technical analysis. This serves both to aid the user in gaining deeper insights into market movements, and to provide additional data for further enhancing the ACPRI’s machine learning models.
A comprehensive article on our strategy testing environment can be found here.