The goal of the event-based backtester is to achieve better accuracy in the trading arena. We will consider the internals of the trading system by using the trading system we built in the last chapter and we will use the market simulator to simulate the external constraints of the market.
In this section, we will create an EventBasedBackTester class. This class will have a queue between all the components of the trading systems. Like when we wrote our first Python trading system, the role of these queues is to pass events between two components. For instance, the gateway will send the market data to the book through a queue. Each ticker (price update) will be considered an event. The event we implemented in the book ...
