HFTBacktest is an engine built for backtesting strategies on CME futures. It works on MBO data from Databento.

• Full orderbook reconstruction using MBO data
• Realistic fill simulation using position in queue
• Latency modelling
• Fast, written fully in C++
• Python bindings for strategy research (coming)

I develop futures trading strategies as a hobby, and I was tired of my live results not matching my backtests. This was especially true for latency sensitive and maker (limit order) strategies. I built HFTBacktest to accurately simulate trading fills