backtest-engine

name

backtest-engine

description

Internals of DaxAlgo Terminal's tick-level backtest engine — IBacktestStrategy seam, IOrderRouter, SimulatedOrderBook, L1FillModel, IFeeModel (Zero/MakerTaker/Bps), IRiskManager, ParquetTickReader/Writer, StatisticsCalculator, and the live/backtest router split. Use when touching fee models, risk caps, fill simulation, OMS stubs, the Backtest CLI (daxalgo-backtest.exe), or the Tools → Backtest window. Skip for pure UI work or for adding strategies (use add-strategy instead).

Backtest Engine

Layout

• Core/Backtest/ — IBacktestStrategy (engine seam: OnStartAsync / OnTickAsync(Tick) / OnTradeAsync(TradePrint) / OnOrderEventAsync / OnEndAsync), BacktestConfig, BacktestResult.
• Core/Trading/ — IOrderRouter, IFeeModel, IRiskManager, OrderEvent, Liquidity enum.
• Infrastructure/Backtest/ — BacktestSession, SimulatedOrderBook, L1FillModel, TradeLedger, StatisticsCalculator, Fast/ (parallel sweeps).
• Infrastructure/Backtest/Persistence/ — BacktestTickSource (k-way merge over the store), ParquetTickReader / ParquetTickWriter (row-group buffered; epoch-microsecond timestamps; read-path being migrated off — prefer IMarketDataStore for new code).
• Infrastructure/Backtest/Strategies/ — engine-side strategy impls.
• src/TradingTerminal.Backtest/ — Tools → Backtest window (own project; AddBacktestSurface DI extension, called from App.xaml.cs).
• src/TradingTerminal.Backtest.Cli/ — headless daxalgo-backtest.exe (run / synth / sweep subcommands; data source = parquet OR store via --symbol --from --to).

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.
• CLI flags: --taker-fee, --maker-rebate, --fee-bps.
• 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.
• Synth subcommand generates a mean-reverting random walk with variable L1 sizes and occasional spread-bursts — so microstructure / market-maker strategies actually exercise their logic.

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.

Quick commands

# Generate synthetic ticks
src\TradingTerminal.Backtest.Cli\bin\Debug\net9.0-windows\daxalgo-backtest.exe synth --output bt-data.parquet --ticks 10000

# Run a strategy
src\TradingTerminal.Backtest.Cli\bin\Debug\net9.0-windows\daxalgo-backtest.exe run --strategy meanReversion --symbol TEST --data bt-data.parquet

# Sweep parameters in parallel
src\TradingTerminal.Backtest.Cli\bin\Debug\net9.0-windows\daxalgo-backtest.exe sweep --strategy bollinger --data bt-data.parquet

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