6093eac7bf
Wave 64-65 cleanup: Proto regeneration and build system updates from Tonic 0.12→0.14 upgrade Files updated: - Cargo.lock: Dependency resolution for Tonic 0.14.2 - All build.rs: Updated for tonic-prost-build - Proto files: Regenerated with tonic-prost 0.14 - Examples/tests: Updated for new gRPC API 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude <noreply@anthropic.com>
49 lines
2.2 KiB
Markdown
49 lines
2.2 KiB
Markdown
# Backtesting Crate
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## Overview
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The `backtesting` crate provides a robust and configurable engine for simulating trading strategies against historical market data. It enables quantitative analysts and developers to evaluate strategy performance, optimize parameters, and validate hypotheses before live deployment.
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## Features
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* **Historical Data Replay:** Efficiently replays market data from Parquet files, supporting various data granularities (ticks, order book snapshots, candles).
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* **Comprehensive Performance Metrics:** Calculates key performance indicators such as Sharpe Ratio, Maximum Drawdown, Alpha, Beta, Sortino Ratio, and more.
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* **Realistic Slippage Modeling:** Configurable slippage models (e.g., fixed, percentage, volume-based) to accurately reflect real-world execution costs.
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* **Commission Modeling:** Supports various commission structures (e.g., fixed per trade, percentage of value, per share/contract) for accurate P&L calculation.
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* **Detailed Trade Analytics:** Generates in-depth reports on individual trades, cumulative P&L, win/loss ratios, and trade duration analysis.
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* **Pluggable Strategy Interface:** Defines a clear interface for users to implement and integrate their custom trading strategies seamlessly.
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## Usage
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```rust
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use backtesting::{Backtester, BacktestConfig};
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use common::types::InstrumentId;
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use std::path::PathBuf;
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let config = BacktestConfig {
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start_time: "2023-01-01T00:00:00Z".parse().unwrap(),
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end_time: "2023-01-02T00:00:00Z".parse().unwrap(),
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data_path: PathBuf::from("./historical_data/"),
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instruments: vec![InstrumentId::new("BTCUSD".to_string())],
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// ... other configuration like slippage, commissions
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};
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// let mut backtester = Backtester::new(config);
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// let strategy = MySimpleStrategy::new(); // Initialize your strategy
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// backtester.run(&strategy).expect("Backtest failed");
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// let results = backtester.get_results();
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// println!("Sharpe Ratio: {}", results.sharpe_ratio);
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// println!("Max Drawdown: {}", results.max_drawdown);
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```
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## Testing
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```bash
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cargo test --package backtesting
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```
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## Documentation
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Full API documentation is available at [docs.rs/backtesting](https://docs.rs/backtesting).
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