Replays a strategy over stored bars: fill and cost models, the replay ledger, and the report. More...

Classes
struct	AppliedRate
	The commission rate that charged an execution, as the backtest report lists it. More...
class	Backtester
	Replays bars (and quotes) through one strategy, with a ledger and a fill model. More...
struct	BacktestTag
	The broker tag of a replay's order references (they reach no broker). More...
struct	CommissionCharge
	What one execution was charged: the broker's commission and the institution fee. More...
struct	CommissionModel
	A flat commission: a rate on traded value, with an optional per-execution minimum. More...
class	CommissionPolicy
	How a backtest charges commission: one stated model, or a schedule resolved per execution. More...
struct	EquityPoint
	One point on a replay's equity curve, recorded per bar. More...
struct	Execution
	One execution a backtest produced, and what it cost. More...
struct	FillDecision
	What NextBarFillModel::decide concluded about one order and one bar. More...
class	NextBarFillModel
	The fill model: market orders at the next bar's open, limit orders when the next bar's range reaches them, stop-limit orders once released. More...
struct	QueuedOrder
	One order a replay accepted and has not yet filled or withdrawn. More...
class	QueueingExecutor
	The replay's executor: accepts orders and holds them until they fill or are withdrawn. More...
class	ReplayClock
	A backtest's clock: the current instant and market phase, moved by the replayed events. More...
struct	ReplayConfig
	A replay's settings, besides the strategy and the bars. More...
class	ReplayLedger
	Positions, cash and realized profit, updated by each execution of a replay. More...
struct	ReplayResult
	Everything a replay produced; summarize turns it into a Report. More...
struct	Report
	The summary of a replay; read halted_ and caveats_ before the figures. More...
struct	ReportCaveats
	What a replay's figures assumed and did not account for. More...
struct	SellTax
	A tax on sales, stated by the caller; see NextBarFillModel::with_sell_tax. More...
struct	SlippageModel
	Slippage: how far a fill price moves against the order (a buy pays more, a sell gets less). More...

Enumerations
enum class	LimitFillPrice { AT_LIMIT , AT_OPEN_IF_BETTER }
	Which price a backtest credits a limit order that fills. More...

Functions
std::optional< std::chrono::seconds >	interval_duration (BarInterval interval)
	Returns the fixed duration of an interval (bar_interval_length).
std::optional< math::Scalar >	periods_per_year (BarInterval interval, const strategy::SessionWindow &session, math::Scalar trading_days)
	Returns how many bars of an interval a year contains, for analytics::annualize_ratio.
Result< CommissionModel >	commission_model_from (const CommissionSchedule &schedule, Country country, const Date &date)
	Builds a flat commission model from a schedule's rate for a market on a date.
constexpr std::string_view	limit_fill_price_name (LimitFillPrice choice) noexcept
	Returns a lowercase name for a choice, such as "at_limit", for reports.
Report	summarize (const ReplayResult &result, const NextBarFillModel &fills, std::optional< math::Scalar > periods_per_year=std::nullopt, math::Scalar risk_free=math::Scalar{0})
	Summarizes a replay into a Report.

Detailed Description

Replays a strategy over stored bars: fill and cost models, the replay ledger, and the report.

Enumeration Type Documentation

◆ LimitFillPrice

enum class algotradelib::backtest::LimitFillPrice

strong

Which price a backtest credits a limit order that fills.

Enumerator

AT_LIMIT

The default: fill at the limit, or at the bar's worst traded price when the whole bar was better than the limit.

A bar that gaps through a resting limit is not credited its open. A limit marketable through the whole bar (a buy above the high) is credited the high (a sell below the low, the low), which is better than the limit; ReportCaveats::limit_fills_bounded_ counts those fills.

AT_OPEN_IF_BETTER

Fill at the bar's open when it opened through the limit (assumes the order was resting before the open).

Definition at line 562 of file cost.hpp.

Function Documentation

◆ commission_model_from()

Result< CommissionModel > algotradelib::backtest::commission_model_from	(	const CommissionSchedule &	schedule,
		Country	country,
		const Date &	date )

inline

Builds a flat commission model from a schedule's rate for a market on a date.

The model has no minimum (none is published) and no tax; it charges that one rate for the whole replay, even if the schedule changes rate later. For per-date rates use CommissionPolicy::scheduled.

Parameters

schedule	The schedule, published by a broker or stated by the caller.
country	The market.
date	The date whose rate to use.

Returns: The model (from_broker_ true only when the schedule's origin_ is BROKER_PUBLISHED), or an INVALID_ARGUMENT error with broker code no_rate_for_date or rate_bounds_unreadable (see CommissionSchedule::RateSelection).

Definition at line 94 of file cost.hpp.

Referenced by commission_model_from().

◆ interval_duration()

std::optional< std::chrono::seconds > algotradelib::backtest::interval_duration ( BarInterval interval )

inline

Returns the fixed duration of an interval (bar_interval_length).

Parameters

interval The interval.

Returns: The length of an intraday interval; std::nullopt for a day or longer, which has no fixed trading duration.

Definition at line 30 of file clock.hpp.

Referenced by algotradelib::backtest::ReplayClock::contiguous(), interval_duration(), and periods_per_year().

◆ limit_fill_price_name()

std::string_view algotradelib::backtest::limit_fill_price_name ( LimitFillPrice choice )

inlineconstexprnoexcept

Returns a lowercase name for a choice, such as "at_limit", for reports.

Parameters

choice The choice.

Returns: The name.

Definition at line 584 of file cost.hpp.

Referenced by limit_fill_price_name().

◆ periods_per_year()

std::optional< math::Scalar > algotradelib::backtest::periods_per_year	(	BarInterval	interval,
		const strategy::SessionWindow &	session,
		math::Scalar	trading_days )

inline

Returns how many bars of an interval a year contains, for analytics::annualize_ratio.

Daily bars: trading_days. Intraday bars: the bars a session holds, times trading_days. A session that is not a whole number of bars ends with a shorter one, which counts: KRX's 390-minute session holds 390 one-minute bars (95,550 a year over 245 days) and 7 hourly ones, the last of them 30 minutes.

Parameters

interval	The bar interval.
session	The session window (used for intraday bars).
trading_days	Trading days per year, such as about 245 for KRX or 252 for US markets.

Returns: The count, or std::nullopt for weekly, monthly or yearly bars, a non-positive trading_days, or (for intraday bars) a session whose close is not after its open.

Definition at line 47 of file clock.hpp.

Referenced by periods_per_year(), and summarize().

◆ summarize()

Report algotradelib::backtest::summarize	(	const ReplayResult &	result,
		const NextBarFillModel &	fills,
		std::optional< math::Scalar >	periods_per_year = std::nullopt,
		math::Scalar	risk_free = math::Scalar{0} )

inline

Summarizes a replay into a Report.

Parameters

result	The replay's result.
fills	The fill model the replay used, so the report states its costs and assumptions.
periods_per_year	Periods in a year, for the annualized Sharpe ratio (see backtest::periods_per_year); absent leaves it missing().
risk_free	The risk-free rate per period, in the units of the returns.

Returns: The report.

Exceptions

std::invalid_argument if periods_per_year is given, not positive, and the equity curve is not empty.

Definition at line 326 of file report.hpp.

Referenced by summarize().

Classes

Enumerations

Functions

Detailed Description

Enumeration Type Documentation

◆ LimitFillPrice

Function Documentation

◆ commission_model_from()

◆ interval_duration()

◆ limit_fill_price_name()

◆ periods_per_year()

◆ summarize()