| 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.
