Crate rustrade_backtest 

rustrade-backtest

Deterministic backtest engine for rustrade_core::Brains. The same Brain trait used by rustrade for live trading drives the backtest — no special “backtest-mode” code paths in the strategy, no duplicate decision logic to keep in sync.

See the crate-level README.md for a quickstart.

Determinism

Given the same (Brain, Vec<Candle>, BacktestConfig) inputs the engine produces the same BacktestResult every run. There is no random number source and no thread interleaving — the loop is single-threaded and synchronous through every step that affects state.

Risk-gate parity with live

The live ExecutionService blocks decisions behind a per-symbol session-PnL halt and circuit breaker. Thread the same configs through BacktestConfig::session_pnl / BacktestConfig::circuit_breaker and the replay engine applies the same gates — driven by candle time (the daily halt rolls over at 00:00 UTC in replay time, the breaker’s window and cooldown run on candle timestamps), so a brain that relies on live gating backtests the way it trades. Blocked decisions are counted in BacktestResult::orders_blocked. Both gates default to off.

Status

Phase 4b — adds CSV candle loader, Sharpe/Sortino metrics, and multi-symbol replay. Parquet loaders and book-walk slippage remain deferred. See the workspace TODO.md.

Re-exports

pub use config::BacktestConfig;

pub use config::BacktestConfigBuilder;

pub use engine::Backtest;

pub use error::Error;

pub use error::Result;

pub use fees::FeeModel;

pub use loaders::load_csv;

pub use loaders::load_csv_str;

pub use loaders::sort_chronological;

pub use metrics::TradeOutcome;

pub use result::BacktestResult;

pub use slippage::SlippageModel;

Modules

config

Backtest configuration + builder.

engine

The replay engine.

error

Errors specific to the backtest engine.

fees

Fee models applied to every simulated fill in the backtest engine.

loaders

Candle series loaders for backtests.

metrics

Trade-level outcome captured during the replay loop.

result

Backtest result — aggregated metrics + the full trade ledger.

slippage

Slippage models applied between a brain’s signal and the simulated fill price.