Struct Backtest

pub struct Backtest<MD> { /* private fields */ }

Available on crate feature backtest only.

This backtester provides multi-asset and multi-exchange model backtesting, allowing you to configure different setups such as queue models or asset types for each asset. However, this may result in slightly slower performance compared to Backtest.

Implementations

impl<MD> Backtest<MD>

where MD: MarketDepth,

pub fn builder() -> BacktestBuilder<MD>

pub fn new( local: Vec<Box<dyn LocalProcessor<MD>>>, exch: Vec<Box<dyn Processor>>, reader: Vec<Reader<Event>>, ) -> Self

pub fn goto_end(&mut self) -> Result<ElapseResult, BacktestError>

Trait Implementations

impl<MD> Bot<MD> for Backtest<MD>

where MD: MarketDepth,

type Error = BacktestError

fn current_timestamp(&self) -> i64

In backtesting, this timestamp reflects the time at which the backtesting is conducted within the provided data. In a live bot, it’s literally the current local timestamp.

fn num_assets(&self) -> usize

Returns the number of assets.

fn position(&self, asset_no: usize) -> f64

Returns the position you currently hold.

fn state_values(&self, asset_no: usize) -> &StateValues

Returns the state’s values such as balance, fee, and so on.

fn depth(&self, asset_no: usize) -> &MD

Returns the MarketDepth.

fn last_trades(&self, asset_no: usize) -> &[Event]

Returns the last market trades.

fn clear_last_trades(&mut self, asset_no: Option<usize>)

Clears the last market trades from the buffer.

fn orders(&self, asset_no: usize) -> &HashMap<u64, Order>

Returns a hash map of order IDs and their corresponding Orders.

fn submit_buy_order( &mut self, asset_no: usize, order_id: OrderId, price: f64, qty: f64, time_in_force: TimeInForce, order_type: OrdType, wait: bool, ) -> Result<ElapseResult, Self::Error>

Places a buy order.

fn submit_sell_order( &mut self, asset_no: usize, order_id: OrderId, price: f64, qty: f64, time_in_force: TimeInForce, order_type: OrdType, wait: bool, ) -> Result<ElapseResult, Self::Error>

Places a sell order.

fn submit_order( &mut self, asset_no: usize, order: OrderRequest, wait: bool, ) -> Result<ElapseResult, Self::Error>

Places an order.

fn modify( &mut self, asset_no: usize, order_id: OrderId, price: f64, qty: f64, wait: bool, ) -> Result<ElapseResult, Self::Error>

Modifies an open order.

fn cancel( &mut self, asset_no: usize, order_id: OrderId, wait: bool, ) -> Result<ElapseResult, Self::Error>

Cancels an open order.

fn clear_inactive_orders(&mut self, asset_no: Option<usize>)

Clears inactive orders from the local orders whose status is neither Status::New nor Status::PartiallyFilled.

fn wait_order_response( &mut self, asset_no: usize, order_id: OrderId, timeout: i64, ) -> Result<ElapseResult, BacktestError>

Waits for the response of the order with the given order ID until timeout.

fn wait_next_feed( &mut self, include_order_resp: bool, timeout: i64, ) -> Result<ElapseResult, Self::Error>

Wait until the next feed is received, or until timeout.

fn elapse(&mut self, duration: i64) -> Result<ElapseResult, Self::Error>

Elapses the specified duration.

fn elapse_bt(&mut self, duration: i64) -> Result<ElapseResult, Self::Error>

Elapses time only in backtesting. In live mode, it is ignored.

fn close(&mut self) -> Result<(), Self::Error>

Closes this backtester or bot.

fn feed_latency(&self, asset_no: usize) -> Option<(i64, i64)>

Returns the last feed’s exchange timestamp and local receipt timestamp.

fn order_latency(&self, asset_no: usize) -> Option<(i64, i64, i64)>

Returns the last order’s request timestamp, exchange timestamp, and response receipt timestamp.