Latency Models in HFT Backtests Explained
Latency models in HFT backtests decide which fills are real. See how feed delay and order entry delay differ, and what a zero latency fill quietly hides.
#order book
Filtering by topic #order book · clear
What Is a Liquidity Heatmap? How to Read One
A liquidity heatmap paints resting order size at every price level over time. It needs depth-of-book data, not Level 1, and it only shows displayed orders.