November 2019
Beginner
394 pages
10h 31m
English
An event-driven backtester uses almost all the components of the trading system. Most of the time, this type of backtester encompass all the trading system components (such as the order manager system, the position manager, and the risk manager). Since more components are involved, the backtester is more realistic.
The event-driven backtester is close to the trading system we implemented in Chapter 7, Building a Trading System in Python. We left the code of the TradingSimulation.py file empty. In this section, we will see how to code that missing code.
We will have a loop calling all the components one by one. The components will read the input one after the other and will then generate events if needed. All ...