المدربThe fidelity level of a backtest is how much of the trading process it simulates. This book uses four: level 1, the vectorised backtest on bar returns with costs as functions of turnover; level 2, the event-driven backtest on bars, with orders, fills and a simulated clock (chapter 17); level 3, the replay of order-book messages with queue positions and latency (chapter 18); level 4, live trading at small size or paper trading on live data (chapters 19 and 21).
