Bari's BlockHouse Interview Project
Smart Order Routing Backtesting Framework Overview This repository contains a framework for backtesting Smart Order Routing (SOR) strategies. The project includes both a conceptual framework and a Python implementation, focusing on simplified execution strategies like TWAP (Time-Weighted Average Price). The framework is designed for scalability, extensibility, and alignment with real-world backtesting requirements.
Key Features
- Methodology and Framework Data Pipeline: Simulates synthetic market data for prices, volumes, and timestamps. Handles challenges like missing data, bid/ask updates, and trade data synchronization. Execution Strategies: Implements TWAP and outlines VWAP in the framework. Discusses the impact of market conditions on execution strategies. Performance Metrics: Calculates key metrics like execution cost, slippage, and fill rates. Simulation Logic: Models multi-venue routing decisions, order placements, and multi-leg trades. Extensibility and Scalability: Provides a roadmap for supporting advanced SOR configurations and other asset classes.
- Python Implementation Backtesting Framework: Simulates trade execution for a TWAP strategy. Synthetic Data Generation: Generates market data, including prices, volumes, and timestamps. Metrics Calculation: Outputs execution cost, slippage, and fill rates for strategy evaluation. Results Reporting: A concise report explaining the implementation and results.