The invention discloses a high-frequency quantitative transaction strategy back test verification method and a system. The method comprises the following steps: S1, asynchronously generating a plurality of simulated back test paths; S2, for each simulated back test path, feeding the market order book, the market making strategy parameters and the state of the market maker into a self-defined transaction strategy, and outputting a market maker order; S3, for any time slice of each simulated back test path, generating a new market order of the next time slice by utilizing a simulation data generation module according to the latest order book state of the market and preset parameters; S4, matching the orders on the order book, the newly generated market orders and the latest orders of the custom transaction strategy through a matching engine to form a transaction, and updating the original order book and generating a corresponding transaction record after matching; S5, returning to the step S2 to carry out iterative loop so as to obtain a convergence result; and S6, generating a performance report of the simulated back test path.