srfm::event_bt::BacktestEngine Class Reference

#include <event_backtester.hpp>

Public Member Functions
	BacktestEngine (double initial_cash=100 '000.0, double commission=0.001) noexcept
void	set_strategy (std::unique_ptr< Strategy > strat) noexcept
	Set the strategy to drive order generation.
void	add_event (BacktestEvent event)
	Insert a market event into the priority queue.
BacktestResult	run ()
const std::vector< Fill > &	fills () const noexcept
	Const accessor for the fill history.
const Portfolio &	portfolio () const noexcept
	Const accessor for the portfolio state after run().

Detailed Description

Event-driven backtesting engine.

Events are inserted via add_event() and processed in strict timestamp order by run(). The engine simulates market fills, tracks a Portfolio, and returns a BacktestResult.

Usage:

BacktestEngine engine(10'000.0, 0.001);
engine.set_strategy(std::make_unique<MyStrategy>());
for (auto& ev : raw_events) engine.add_event(ev);
auto result = engine.run();

Definition at line 179 of file event_backtester.hpp.

Constructor & Destructor Documentation

BacktestEngine()

srfm::event_bt::BacktestEngine::BacktestEngine ( double  initial_cash = 100'000.0, double  commission = 0.001  )

inlineexplicitnoexcept

Parameters

initial_cash	Starting cash in quote currency.
commission	Commission fraction per trade notional.

Definition at line 183 of file event_backtester.hpp.

Member Function Documentation

add_event()

void srfm::event_bt::BacktestEngine::add_event ( BacktestEvent  event )

inline

Insert a market event into the priority queue.

Definition at line 197 of file event_backtester.hpp.

fills()

const std::vector< Fill > & srfm::event_bt::BacktestEngine::fills ( ) const

inlinenoexcept

Const accessor for the fill history.

Definition at line 207 of file event_backtester.hpp.

portfolio()

const Portfolio & srfm::event_bt::BacktestEngine::portfolio ( ) const

inlinenoexcept

Const accessor for the portfolio state after run().

Definition at line 210 of file event_backtester.hpp.

run()

BacktestResult srfm::event_bt::BacktestEngine::run

(

)

Process all queued events and return aggregate performance.

Returns

BacktestResult populated after all events are consumed.

Definition at line 94 of file event_backtester.cpp.

set_strategy()

void srfm::event_bt::BacktestEngine::set_strategy ( std::unique_ptr< Strategy >  strat )

inlinenoexcept

Set the strategy to drive order generation.

Definition at line 192 of file event_backtester.hpp.

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The documentation for this class was generated from the following files:

• include/srfm/event_backtester.hpp
• src/event_backtester.cpp