Struct BacktestRecorder

pub struct BacktestRecorder { /* private fields */ }

Available on crate feature backtest only.

Provides recording of the backtesting strategy’s state values, which are needed to compute performance metrics.

Implementations

impl BacktestRecorder

pub fn new<I, MD>(hbt: &I) -> Self

where MD: MarketDepth, I: Bot<MD>,

Constructs an instance of BacktestRecorder.

pub fn to_csv<Prefix, P>(&self, prefix: Prefix, path: P) -> Result<(), Error>

where Prefix: AsRef<str>, P: AsRef<Path>,

Saves record data into a CSV file at the specified path. It creates a separate CSV file for each asset, with the filename {prefix}_{asset_no}.csv. The columns are timestamp, mid, balance, position, fee, trade_num, trade_amount, trade_qty.

pub fn to_npz<P>(&self, path: P) -> Result<(), Error>

where P: AsRef<Path>,

Trait Implementations

impl Recorder for BacktestRecorder

type Error = Error

fn record<MD, I>(&mut self, hbt: &I) -> Result<(), Self::Error>

where MD: MarketDepth, I: Bot<MD>,

Records the current StateValues.