Struct BacktestConfig

Source

pub struct BacktestConfig {
    pub start_time_ns: u64,
    pub end_time_ns: u64,
    pub symbols: SmallSymbolVec<SmartString>,
    pub tick_sizes: FxHashMap<SmartString, Decimal>,
    pub lot_sizes: FxHashMap<SmartString, Decimal>,
    pub queue_model: QueueModel,
    pub allow_partial_fills: bool,
    pub order_latency: Box<dyn LatencyModel>,
    pub market_data_latency: Box<dyn LatencyModel>,
    pub conservative_mode: bool,
    pub market_impact: Option<MarketImpact>,
    pub conservative_params: Option<ConservativeParams>,
}

Expand description

Configuration for L2 backtesting

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§start_time_ns: u64

Start time of the backtest in nanoseconds

§end_time_ns: u64

End time of the backtest in nanoseconds

§symbols: SmallSymbolVec<SmartString>

List of symbols to include in the backtest

§tick_sizes: FxHashMap<SmartString, Decimal>

Minimum price increment per symbol (e.g., 0.01 for 2 decimal places)

§lot_sizes: FxHashMap<SmartString, Decimal>

Minimum order quantity increment per symbol

§queue_model: QueueModel

Queue position model (FIFO, ProRata, etc.)

§allow_partial_fills: bool

Whether to allow orders to be partially filled

§order_latency: Box<dyn LatencyModel>

Latency model for order submission and responses

§market_data_latency: Box<dyn LatencyModel>

Latency model for market data delivery

§conservative_mode: bool

Enable conservative execution assumptions

§market_impact: Option<MarketImpact>

Optional custom market impact parameters

§conservative_params: Option<ConservativeParams>

Optional custom conservative parameters

Auto Trait Implementations§

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impl !UnwindSafe for BacktestConfig

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