Crate qs_backtest 

qs-backtest — Backtesting engine for the quant-system workspace.

This crate provides tools for replaying historical market data through the qs_core::TradeEngine to evaluate trading strategies and predefined signal sets.

Two modes of operation

1. Strategy-driven — implement the Strategy trait; the runner feeds market data tick-by-tick and your strategy decides when to act.
2. Signal replay - provide strict timestamped RawSignal values; the runner injects them at the correct moments while replaying price data.

Key types

Type	Purpose
BacktestRunner	Orchestrates the backtest loop (both modes)
BacktestExecutor	Tracks simulated fills, positions, and P&L
BacktestResult	Final report with P&L, drawdown, and execution artifacts
DataFeed	Trait for sequential market event sources
Strategy	Trait for strategy-driven backtests

Re-exports

pub use artifacts::CloseEvent;

pub use artifacts::CompletedPosition;

pub use artifacts::CostEvent;

pub use artifacts::ExecutionMetadata;

pub use artifacts::FutureBacktestArtifacts;

pub use artifacts::InstrumentSizingArtifact;

pub use artifacts::MarketEntrySizingAudit;

pub use artifacts::MarketEntrySizingBasis;

pub use artifacts::NetPnlOutcome;

pub use artifacts::OpenPositionSnapshot;

pub use artifacts::PendingOrderLifecycleEvent;

pub use artifacts::PendingOrderLifecycleState;

pub use artifacts::PendingOrderSnapshot;

pub use artifacts::RecordedFill;

pub use artifacts::ReplayInstrumentArtifact;

pub use artifacts::ReplayInstrumentManifest;

pub use artifacts::RiskBasisStatus;

pub use artifacts::RiskTranche;

pub use data_feed::BarExecutionPrices;

pub use data_feed::DataFeed;

pub use data_feed::MarketEvent;

pub use data_feed::VecFeed;

pub use economic_support::EconomicSupportError;

pub use economic_support::LEGACY_ECONOMIC_GUARD_ID;

pub use economic_support::LegacyEconomicModel;

pub use economic_support::SupportedLegacyEconomics;

pub use economic_support::guarded_instrument_spec;

pub use economic_support::resolve_legacy_economics;

pub use evaluation::BootstrapConfig;

pub use evaluation::BreakdownDimension;

pub use evaluation::EvaluationContext;

pub use evaluation::EvaluationOptions;

pub use evaluation::EvaluationReport;

pub use evaluation::EvaluationSection;

pub use evaluation::GroupFilter;

pub use evaluation::PositionFilter;

pub use evaluation::PositionSide;

pub use executor::BacktestExecutor;

pub use future_executor::FutureExecutor;

pub use mtm::DEFAULT_MTM_MAX_POINTS;

pub use mtm::MAX_MTM_MAX_POINTS;

pub use mtm::MIN_MTM_MAX_POINTS;

pub use mtm::MtmCurveCollector;

pub use mtm::MtmOutputPolicy;

pub use mtm::MtmOutputPolicyError;

pub use mtm::MtmOutputSummary;

pub use profile::EntryProfileRoutingError;

pub use profile::PreparedEntryProfiles;

pub use profile::ProfileError;

pub use profile::ProfileRegistry;

pub use profile::ProfileRegistryError;

pub use report::BacktestResult;

pub use report::CloseReasonStats;

pub use report::DurationStats;

pub use report::MonthlyReturn;

pub use report::PositionSummary;

pub use report::RiskMetrics;

pub use report::StreakStats;

pub use report::SubsetStats;

pub use report::TradeResult;

pub use runner::BacktestRunner;

pub use runner::FutureQuoteConfig;

pub use runner::ReplayCancelled;

pub use runner::ReplayProgress;

pub use runner::StreamingReplayError;

pub use strategy::AnalysisBoundary;

pub use strategy::AnalysisBoundaryOutput;

pub use strategy::AnalysisContext;

pub use strategy::AnalysisError;

pub use strategy::AnalysisPipeline;

pub use strategy::AnnotationError;

pub use strategy::AnnotationId;

pub use strategy::AnnotationLimits;

pub use strategy::AnnotationTimeline;

pub use strategy::AnnotationUse;

pub use strategy::BacktestConfiguredStrategyAdapter;

pub use strategy::BarSeriesSpec;

pub use strategy::BarWindow;

pub use strategy::CalendarAdmissionLimits;

pub use strategy::CalendarBar;

pub use strategy::CalendarError;

pub use strategy::CalendarFeatureKind;

pub use strategy::CalendarFeatureProjector;

pub use strategy::CalendarInputSpec;

pub use strategy::CalendarTimeBasis;

pub use strategy::ClosedBar;

pub use strategy::ConfiguredCalendarFeatureProjector;

pub use strategy::ConfiguredCalendarInput;

pub use strategy::ConfiguredEntryProfileError;

pub use strategy::ConfiguredHistoricalBindings;

pub use strategy::ConfiguredNamedInputBinding;

pub use strategy::ConfiguredSourceBinding;

pub use strategy::ConfiguredStrategyAdapterBuildError;

pub use strategy::ConfiguredStrategyAdapterError;

pub use strategy::ConfiguredStrategyAdapterPreflightError;

pub use strategy::ConfiguredTradingCalendar;

pub use strategy::ConfirmedPivotAnalyzer;

pub use strategy::ConfirmedSwingFactKind;

pub use strategy::ConfirmedSwingFactProjector;

pub use strategy::DEFAULT_CALENDAR_SESSION_ID;

pub use strategy::FixedUtcSessionError;

pub use strategy::FixedUtcSessionProjector;

pub use strategy::HistoricalAnalyzer;

pub use strategy::HistoricalNamedInputProjector;

pub use strategy::HistoricalObservationView;

pub use strategy::HistoricalSeriesView;

pub use strategy::HistoricalStrategy;

pub use strategy::HistoricalVolumeProjection;

pub use strategy::IanaTradingCalendar;

pub use strategy::JournalKind;

pub use strategy::LocalMarketIntervalSpec;

pub use strategy::MAX_ANALYZERS;

pub use strategy::MAX_ANNOTATION_ID_BYTES;

pub use strategy::MAX_ANNOTATION_NOTE_BYTES;

pub use strategy::MAX_ANNOTATIONS;

pub use strategy::MAX_CHART_REF_BYTES;

pub use strategy::MAX_DECISION_LATENCY_MS;

pub use strategy::MAX_DECISION_RECORDS;

pub use strategy::MAX_EXPERIMENT_LABEL_BYTES;

pub use strategy::MAX_INSTRUMENT_BYTES;

pub use strategy::MAX_JOURNAL_PER_CALLBACK;

pub use strategy::MAX_JOURNAL_REASON_BYTES;

pub use strategy::MAX_JOURNAL_RECORDS;

pub use strategy::MAX_JOURNAL_VALUE_KEY_BYTES;

pub use strategy::MAX_JOURNAL_VALUES;

pub use strategy::MAX_OBSERVATION_SOURCE_SERIES;

pub use strategy::MAX_OBSERVATIONS_PER_BOUNDARY;

pub use strategy::MAX_PIVOT_SIDE_BARS;

pub use strategy::MAX_REASON_BYTES;

pub use strategy::MAX_RETAINED_BARS;

pub use strategy::MAX_RETAINED_OBSERVATIONS;

pub use strategy::MAX_SERIES_ID_BYTES;

pub use strategy::MAX_SESSION_WINDOWS;

pub use strategy::MAX_SIGNALS_PER_CALLBACK;

pub use strategy::MAX_STRATEGY_ID_BYTES;

pub use strategy::MAX_STRATEGY_REVISION_BYTES;

pub use strategy::MAX_STRATEGY_TITLE_BYTES;

pub use strategy::MAX_TRADE_ID_BYTES;

pub use strategy::MAX_WARMUP_BARS;

pub use strategy::MAX_ZONE_ID_BYTES;

pub use strategy::MarketScheduleSpec;

pub use strategy::MissingIntervalPolicy;

pub use strategy::MomentumState;

pub use strategy::MultiTimeframeSeries;

pub use strategy::NamedInputProjectionContext;

pub use strategy::NamedInputProjectionError;

pub use strategy::NamedSessionSpec;

pub use strategy::ObservationOrigin;

pub use strategy::ObservationSelection;

pub use strategy::ObservationStore;

pub use strategy::ObservationStoreLimits;

pub use strategy::ObservationWindow;

pub use strategy::OpeningRange;

pub use strategy::PivotConfig;

pub use strategy::PriceBasis;

pub use strategy::PriceZone;

pub use strategy::ProjectedNamedInput;

pub use strategy::RejectionPattern;

pub use strategy::ResolvedSession;

pub use strategy::ResolvedSessionOccurrence;

pub use strategy::ResolvedTradingDay;

pub use strategy::SeriesError;

pub use strategy::SeriesGeometry;

pub use strategy::SeriesGeometryError;

pub use strategy::SeriesId;

pub use strategy::SeriesRequirement;

pub use strategy::SeriesViewError;

pub use strategy::SeriesWarmupState;

pub use strategy::SessionOccurrenceId;

pub use strategy::SessionScheduleSpec;

pub use strategy::SessionSpanSpec;

pub use strategy::SourceBarFactKind;

pub use strategy::SourceBarFactProjector;

pub use strategy::Strategy;

pub use strategy::StrategyAnnotation;

pub use strategy::StrategyBacktestResult;

pub use strategy::StrategyComparisonMetrics;

pub use strategy::StrategyComparisonSnapshot;

pub use strategy::StrategyConfigError;

pub use strategy::StrategyContext;

pub use strategy::StrategyDecisionDraft;

pub use strategy::StrategyDecisionKind;

pub use strategy::StrategyDecisionOutput;

pub use strategy::StrategyDecisionRecord;

pub use strategy::StrategyDecisionRecorder;

pub use strategy::StrategyDecisionRetention;

pub use strategy::StrategyDescriptor;

pub use strategy::StrategyDomainError;

pub use strategy::StrategyEvent;

pub use strategy::StrategyExperimentComparison;

pub use strategy::StrategyExperimentError;

pub use strategy::StrategyFeedback;

pub use strategy::StrategyFeedbackEvent;

pub use strategy::StrategyId;

pub use strategy::StrategyJournalDraft;

pub use strategy::StrategyJournalError;

pub use strategy::StrategyJournalOutput;

pub use strategy::StrategyJournalRecord;

pub use strategy::StrategyJournalRecorder;

pub use strategy::StrategyJournalRetention;

pub use strategy::StrategyObservation;

pub use strategy::StrategyObservationDraft;

pub use strategy::StrategyObservationValue;

pub use strategy::StrategyOutput;

pub use strategy::StrategyReplayError;

pub use strategy::StrategyReplayInputError;

pub use strategy::StrategyRequirements;

pub use strategy::StrategyResearchLimits;

pub use strategy::StrategyResearchOutput;

pub use strategy::StrategyRetentionLimits;

pub use strategy::StrategyRuntimeError;

pub use strategy::SwingKind;

pub use strategy::SwingPoint;

pub use strategy::Timeframe;

pub use strategy::TradingCalendarSpec;

pub use strategy::WarmupRequirement;

pub use strategy::WeeklyMarketIntervalSpec;

pub use strategy::ZoneId;

pub use strategy::ZoneSide;

pub use strategy::ZoneSource;

pub use strategy::ZoneState;

pub use strategy::ConfiguredInstance;

pub use strategy::DirectPortfolioInstance;

pub use strategy::INSTANCE_POSITION_TAG;

pub use strategy::MAX_PORTFOLIO_INSTANCES;

pub use strategy::MixedPortfolioBacktestResult;

pub use strategy::MixedPortfolioReplayError;

pub use strategy::PortfolioBacktestResult;

pub use strategy::PortfolioInstanceOutput;

pub use strategy::PortfolioReplayError;

pub use strategy::SupervisorEvent;

pub use strategy::SupervisorHaltAction;

pub use strategy::SupervisorOutput;

Modules

artifacts

Additive, serializable artifacts for future backtest runners.

currency

Compatibility re-exports for currency-conversion domain types moved to qs-core.

data_feed

Data feed abstraction for backtesting.

economic_support

Fail-closed capability checks for the legacy backtest economic model.

evaluation

Additive, report-independent provider evaluation.

executor

Backtest executor — simulates fills and tracks P&L.

future_executor

Fill-authoritative accounting for the FutureQuoteV1 replay path.

ledger

Terminal action lifecycle accounting.

mtm

Deterministic mark-to-market output collection.

portfolio

Quote-aware portfolio snapshots and online account accounting.

profile

Backtest compatibility surface and configuration loader for core management profiles.

report

Backtest reporting — trade log, aggregate statistics, and enhanced analytics.

runner

Backtest runner — orchestrates the backtest loop.

sizing

Compatibility re-exports for position-sizing domain types moved to qs-core.

strategy

Historical strategy contracts and the legacy action-producing strategy trait.

Structs

ConversionLeg

One directed currency-conversion leg.

ConversionLegAudit

Auditable execution details for one route leg.

ConversionQuoteBook

Historical FX tick store with causal, staleness-bounded lookup.

ConversionResult

Result of one identity, direct, inverse, or two-leg conversion.

CostCharge

One computed signed charge before any account conversion.

EntryLevelResolution

Auditable requested and resolved profile levels.

EntryResolutionContext

Instrument-aware context for profile-generated price levels.

FxPair

One available FX symbol and its registered currencies.

GeneratedTargetResolution

Metadata for one generated target.

InstrumentCosts

Complete cost specification for one instrument.

ManagementProfile

A named management profile that resolves raw entry signals before sizing.

ResolvedEntry

A resolved entry that retains risk intent without assigning concrete lots.

RunCurrencyPlan

Immutable, validated currency handoff for one backtest run.

SwapSchedule

Nightly swap magnitude plus the rollover calendar that charges it.

TargetResolution

Metadata describing how signal targets were selected and weighted.

Enums

CommissionModel

How commission is charged for one instrument.

ConversionError

Errors produced by route resolution and quote-backed conversion.

ConversionPriceSide

Quote side used to execute one signed conversion leg.

ConversionRoute

Deterministic route selected from a caller-provided available-symbol set.

CostBasis

Which currency a computed charge is denominated in.

CostKind

What produced one charge.

CostValidationError

Configuration failures detected before a run starts.

EntryGeometryPolicy

Directional geometry policy for signal stoploss and targets resolved against the execution price.

FxPairDirection

Direction in which an FX pair is used for a conversion leg.

PositionRef

How a management signal references its target position(s).

PriceGridSource

Origin of the price grid supplied by the replay adapter.

ProfileApplicationError

Strict validation failures returned by the canonical entry resolvers.

ProfileValidationError

Errors returned while validating a management profile definition.

QuoteValidationError

Validation failure for a tick quote submitted to the quote book.

RawSignal

A raw signal from an external source — entry or management.

RuleConfigDef

Profile-specific rule definition with #[serde(tag = "type")] for TOML.

RunCurrencyPlanError

Validation errors for an immutable run currency plan.

StoplossMode

How the profile handles the stoploss from the raw signal.

SwapAmount

Nightly swap magnitude for one instrument, in broker sign convention where negative charges and positive credits.

TargetResolutionSource

Source recorded for resolved target metadata.

TargetSelection

Which 1-based target indices participate in strict target resolution.

TargetSource

Source used to produce initial targets.

Traits

PositionResolver

Resolves a PositionRef to concrete position ID(s) using engine state.

Functions

allocate_target_units

Convert an aligned floating lot size to steps and delegate to allocate_target_steps.

resolve_conversion_route

Resolve an identity, direct, inverse, or deterministic two-leg FX route.

resolve_fx_pair

Resolve one directed FX pair from the available-symbol set.

resolve_signal

Resolve a non-entry RawSignal into concrete Action(s).

resolve_unprofiled_entry

Strictly resolve an entry without a management profile.