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Quantitative Finance · Glossary

What is Event model?

Definition 11.2 Research, Data and Risk Platforms · Chapter 11 — Backtest-Engine Architecture

An event model is the set of event classes a backtest engine records and the total order in which it processes and stores them: here each event carries a time, a class and a sequence number, and events are ordered by time, then by a fixed rank of their class, then by sequence number.

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