74a595aff8
ProductionFeatureExtractorAdapter was changed to produce 42 features (40 base + 2 regime) but three test sites and the FEATURE_NAMES constant still expected 51 (42 + 1 volatility_regime + 8 OFI placeholders). - backtesting: strategy_runner test assertions 51→42 - trading-service: ensemble_coordinator test assertions 51→42 - trading-service: FEATURE_NAMES_51 → FEATURE_NAMES_42 (drop OFI placeholders and volatility_regime, matching extraction.rs v2 layout) Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
backtesting
Strategy backtesting engine for simulating trading strategies against historical market data.
Key Types
Backtester— main backtesting engineBacktestConfig— simulation configuration (time range, instruments, slippage, commissions)BacktestResults— performance metrics (Sharpe, max drawdown, alpha, beta, Sortino)
Features
- Historical data replay from Parquet files (ticks, order book snapshots, candles)
- Configurable slippage models (fixed, percentage, volume-based)
- Commission modeling (fixed, percentage, per-contract)
- Pluggable strategy interface
Usage
use backtesting::{Backtester, BacktestConfig};
let config = BacktestConfig { /* ... */ };
let results = backtester.run(&strategy)?;