backtest-engine

name	backtest-engine
description	Internals of DaxAlgo Terminal's tick/event backtest stack — Core contracts, TradingTerminal.Backtest.Engine replay and optimization, Infrastructure persistence adapters, and the Backtest/BacktestStudio tools. Use for fee/risk/fill simulation, event ordering, reports, optimization, or backtest surfaces. Skip strategy authoring; use add-strategy for external plugins.

Backtest Engine

Layout

• src/windows/Core/TradingTerminal.Core/Backtest/ and Trading/ — public contracts, configuration, results, fees and order routing seams.
• src/windows/Backtest/TradingTerminal.Backtest.Engine/ — event replay, simulation clock/context, kernels, reports, optimization and polyglot adapters.
• src/windows/Pipeline/TradingTerminal.Infrastructure/Backtest/ — persistence/feed adapters and remaining infrastructure integration.
• src/windows/Tools/TradingTerminal.Backtest/ — quick backtest surface.
• src/windows/Tools/TradingTerminal.BacktestStudio/ — catalog, data-source, optimization and walk-forward UI.

Order routing

• Live: LiveOrderRouter delegates to the active broker via IBrokerClient. NOTE: today all three real clients throw NotSupportedException for orders. Don't wire a LiveOrderRouter → broker.PlaceOrderAsync path until OMS lands.
• Backtest: BacktestOrderRouter runs each submission through the optional IRiskManager, then pushes accepted orders into SimulatedOrderBook, evaluated by L1FillModel on every tick.
• When OMS lands, wire the same IRiskManager into LiveOrderRouter so live and backtest share accounting.

Fees (IFeeModel)

• Fee(side, qty, price, liquidity) is the signature. Liquidity is Maker | Taker.
• Built-ins: ZeroFeeModel, MakerTakerFeeModel, BpsFeeModel.
• SimulatedOrderBook tags each fill: Limit ⇒ Maker, Market/Stop ⇒ Taker — set on OrderEvent.Liquidity.
• TradeLedger charges fees per fill, surfaces total on BacktestResult.TotalFees.
• Pass via BacktestConfig.FeeModel.

Risk (IRiskManager)

• Per-symbol abs-position cap + per-UTC-day realised-loss cap.
• Wired via BacktestSession.RunAsync(config, strategy, risk, ct).
• Default: zero caps ⇒ accept everything (matches legacy backtests). Don't silently change this.
• Rejections appear on the strategy's OnOrderEventAsync stream with State=Rejected. The strategy decides whether to retry / size down / give up.

Tick data

• Parquet, epoch-microsecond timestamps, row-group buffered. New code reads through IMarketDataStore (market-data-pipeline); parquet stays only for the recorder + a few AI/ML/Research tabs that haven't been migrated.
• BacktestTickSource does a k-way merge of quote and trade streams via BacktestEvent so OnTickAsync and OnTradeAsync fire in event-time order.
• Use the Studio or plugin harness synthetic feeds to exercise quotes, trades and depth deterministically.

Stats

StatisticsCalculator (annualised from the median equity-sample gap):

• Sharpe, Sortino
• Calmar (annualised CAGR / MDD)
• Omega (Σ gains / Σ losses)
• Ulcer index (RMS of pct drawdowns)
• Recovery factor
• Downside deviation
• Max consecutive losses
• Max drawdown as fraction of peak
• Per-trade: win-rate, profit-factor, expectancy

Equity is sampled at most once per minute of simulated time.

Hard rules

• Strategies never call IBrokerClient directly — only IOrderRouter.
• Reuse Indicators and Microstructure from Core/MarketData/ — don't reimplement.
• L2 strategies compute on L1 sizes today. Swap to DepthSnapshot via the Microstructure multi-level helpers when L2 ticks land in the backtest engine. (Engine currently L1-only.)
• OMS seam: IBrokerClient.PlaceOrderAsync / CancelOrderAsync / OrderEvents exist but throw. Don't pretend they work yet.

Verification

Build the affected Windows edition filter for tool-only work; build TradingTerminal.Windows.slnx for Core/engine signatures. Run focused engine/tool tests and the external plugin harness when strategy compatibility changes.

See also: add-strategy for the strategy authoring recipe.