Weighted Order Book Imbalance Signal Strategy

Project proposal/description Notion: https://www.notion.so/Fin556-Project-Proposal-2a907f56d649808e8335cfbb375957ad?source=copy_link

Setup Stuff

• To get cursor/vscode autocomplete to work, uninstall the Microsoft C/C++ extension and install the C/C++ extension from Anysphere. It uses the .clangd file to set up the dependencies
• Set up backtester config in the strategy backtester server
• Set up preferred feeds in the strategy backtester server
• Start the backtesting server using this command from the backtester root directory:

./StrategyServerBacktesting

• Set up the cmd_config in the utilities for the strategy command line client that talks to the server
• Use the client to register the strategy with the server, command:

./StrategyCommandLine cmd create_instance Anything MatchExportName UIUC SIM-1001-101 dlariviere 1000000 -symbols SPY
# Use ./StrategyCommandLine cmd create_instance help
# For a more detailed explanation of the command

• Verify that the strategy is registered by running:

./StrategyCommandLine cmd list_instances

• To find potential issues with the backtesting server loading the strategy, watch for its output when you run:

./StrategyCommandLine cmd recheck_strategies

Run the strategy:

./StrategyCommandLine cmd start_backtest 2024-04-10 2024-04-18 Anything 0
# Make sure to use 0 for L2 feed, 1 is just price updates, run help on this for more info

Export the results to csvs:

./StrategyCommandLine cmd export_cra_file ../backtesting-results/file.cra ~/output_dir/ true true

• The trade reports csvs is what we use for our report