algotradelib::backtest::Backtester< Strategy, CapsType > Class Template Reference

Replays bars (and quotes) through one strategy, with a ledger and a fill model. More...

#include <algotradelib/src/backtest/engine.hpp>

Public Types
using	Tag = BacktestTag
	The order-reference tag.
using	Executor = QueueingExecutor<Tag>
	The executor type.
using	Runner = runner::Runner<Strategy, CapsType, Tag, Executor>
	The runner::Runner the replay drives, the same type a live session uses.

Public Member Functions
	Backtester (Strategy strategy={}, ReplayConfig config={}, NextBarFillModel fills=NextBarFillModel{})
	Constructs a replay.
const Strategy &	strategy () const noexcept
	Returns the strategy, to read the state it kept.
const ReplayLedger &	ledger () const noexcept
	Returns the ledger: positions, cash and realized profit.
const NextBarFillModel &	fills () const noexcept
	Returns the fill model, for summarize.
const ReplayResult &	result () const noexcept
	Returns what the replay has produced so far.
void	feed (const strategy::BarEvent &event, std::optional< bool > trading_day=true)
	Replays one bar.
void	feed (const strategy::QuoteEvent &event, std::optional< bool > trading_day=true)
	Replays one quote: moves the price and the clock to it, re-derives the phase (calling on_phase on a change), calls on_quote, and publishes order updates.
void	finish ()
	Ends the replay: calls on_stop (with the current portfolio, including orders from the last bar), settles what it asked for, and counts the orders still queued.

Detailed Description

template<typename Strategy, typename CapsType = strategy::NoCaps>
class algotradelib::backtest::Backtester< Strategy, CapsType >

Replays bars (and quotes) through one strategy, with a ledger and a fill model.

Feed bars with feed, in timestamp order across instruments, then call finish and summarize the result().

backtest::Backtester<MyStrategy> replay(MyStrategy{}, config);
for (const auto& bar : bars) {
  replay.feed(strategy::make_bar_event(id, BarInterval::ONE_DAY, BarStamp::CLOSE, bar));
}
replay.finish();
const auto report = backtest::summarize(replay.result(), replay.fills());

Template Parameters

Strategy	The strategy type.
CapsType	The broker capabilities the strategy sees as Ctx::caps.

Definition at line 437 of file engine.hpp.

Member Typedef Documentation

Executor

template<typename Strategy, typename CapsType = strategy::NoCaps>

using algotradelib::backtest::Backtester< Strategy, CapsType >::Executor = QueueingExecutor<Tag>

The executor type.

Definition at line 442 of file engine.hpp.

Runner

template<typename Strategy, typename CapsType = strategy::NoCaps>

using algotradelib::backtest::Backtester< Strategy, CapsType >::Runner = runner::Runner<Strategy, CapsType, Tag, Executor>

The runner::Runner the replay drives, the same type a live session uses.

Definition at line 444 of file engine.hpp.

Tag

template<typename Strategy, typename CapsType = strategy::NoCaps>

using algotradelib::backtest::Backtester< Strategy, CapsType >::Tag = BacktestTag

The order-reference tag.

Definition at line 440 of file engine.hpp.

Constructor & Destructor Documentation

Backtester()

template<typename Strategy, typename CapsType = strategy::NoCaps>

algotradelib::backtest::Backtester< Strategy, CapsType >::Backtester ( Strategy strategy = {}, ReplayConfig config = {}, NextBarFillModel fills = NextBarFillModel{} )

inline

Constructs a replay.

Parameters

strategy	The strategy.
config	The settings.
fills	The fill model (commission, slippage, limit pricing, sale tax).

Definition at line 452 of file engine.hpp.

Member Function Documentation

feed() [1/2]

template<typename Strategy, typename CapsType = strategy::NoCaps>

void algotradelib::backtest::Backtester< Strategy, CapsType >::feed ( const strategy::BarEvent & event, std::optional< bool > trading_day = true )

inline

Replays one bar.

In order: fill orders resting from earlier bars against this bar (and call on_fill), mark positions at the close and record an equity point, advance the clock to the bar's period end (calling on_phase on a change), then call on_bar, whose orders wait for a later bar. After a halt it does nothing.

For a strategy declaring on_bars, the bar is cached instead and held with the rest of its period; the period goes to on_bars (one call per interval) when the first later bar arrives, before that bar settles, or at a quote at or after it, or at finish. Its orders wait for a later period's bar, as on_bar's do. Such a strategy is fed every bar of a period before anything later.

Parameters

event	The bar; feed bars in timestamp order across instruments. Within one instrument and interval each bar's timestamp must be later than the last.
trading_day	Whether the bar's date trades, for the phase; empty gives UNKNOWN.

Exceptions

std::invalid_argument	(with a linear algebra backend) if series_capacity_ is zero, or the bar is not later than the previous bar of its instrument and interval. The exception propagates after the bar was counted and settled; it does not set ReplayResult::halted_.
std::invalid_argument	(for a strategy declaring on_bars, with or without a linear algebra backend) if the bar's period was already delivered, it is earlier than bars already fed, or its instrument and interval already have a bar for that period; thrown before anything changes.

Definition at line 517 of file engine.hpp.

feed() [2/2]

template<typename Strategy, typename CapsType = strategy::NoCaps>

void algotradelib::backtest::Backtester< Strategy, CapsType >::feed ( const strategy::QuoteEvent & event, std::optional< bool > trading_day = true )

inline

Replays one quote: moves the price and the clock to it, re-derives the phase (calling on_phase on a change), calls on_quote, and publishes order updates.

A quote does not mark the ledger, record an equity point or fill anything. An order placed from on_quote fills against a later bar, not the quote (see ReportCaveats::quotes_). Compared with a live loop, on_phase fires before on_quote here (live, after the iteration's polls), and order updates are always published here (live, only when the working-order poll runs). A quote before the first bar is fine; its orders wait for a bar.

Parameters

event	The quote; feed it in timestamp order with the bars, since the clock follows whatever instant it is given, even backwards.
trading_day	Whether the quote's date trades; empty gives UNKNOWN.

Exceptions

std::invalid_argument

for a strategy declaring on_bars, if the quote is earlier than bars already fed; a quote at or after a pending period first delivers that period to on_bars.

Definition at line 649 of file engine.hpp.

fills()

template<typename Strategy, typename CapsType = strategy::NoCaps>

const NextBarFillModel & algotradelib::backtest::Backtester< Strategy, CapsType >::fills ( ) const

inlinenoexcept

Returns the fill model, for summarize.

Returns

The fill model.

Definition at line 486 of file engine.hpp.

finish()

template<typename Strategy, typename CapsType = strategy::NoCaps>

void algotradelib::backtest::Backtester< Strategy, CapsType >::finish ( )

inline

Ends the replay: calls on_stop (with the current portfolio, including orders from the last bar), settles what it asked for, and counts the orders still queued.

For a strategy declaring on_bars, the last period's bars are delivered first.

After a halt it does nothing; on_stop is not called.

Definition at line 725 of file engine.hpp.

ledger()

template<typename Strategy, typename CapsType = strategy::NoCaps>

const ReplayLedger & algotradelib::backtest::Backtester< Strategy, CapsType >::ledger ( ) const

inlinenoexcept

Returns the ledger: positions, cash and realized profit.

Returns

The ledger.

Definition at line 480 of file engine.hpp.

result()

template<typename Strategy, typename CapsType = strategy::NoCaps>

const ReplayResult & algotradelib::backtest::Backtester< Strategy, CapsType >::result ( ) const

inlinenoexcept

Returns what the replay has produced so far.

Returns

The result.

Definition at line 492 of file engine.hpp.

strategy()

template<typename Strategy, typename CapsType = strategy::NoCaps>

const Strategy & algotradelib::backtest::Backtester< Strategy, CapsType >::strategy ( ) const

inlinenoexcept

Returns the strategy, to read the state it kept.

Returns

The strategy.

Definition at line 474 of file engine.hpp.

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

• algotradelib/src/backtest/engine.hpp