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Quantitative Finance · Begrippenlijst

Wat is Event-driven backtest, simulated clock?

Ook bekend als: event-driven backtest · simulated clock

Definition 17.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 17 — Event-Driven Backtests

An event-driven backtest processes a time-ordered stream of events (market data, order acknowledgements, fills, cancellations, corporate actions) one at a time, each changing the state of the strategy, its orders and its portfolio. Its simulated clock is the time of the event being processed; nothing may use information stamped later.

The architecture of firm.evbt: one queue of events ordered by time, kind and sequence number, a dispatcher, and handlers that may only schedule events in the future.
Figure 17.1. The architecture of firm.evbt: one queue of events ordered by time, kind and sequence number, a dispatcher, and handlers that may only schedule events in the future.
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