April 2019
Intermediate to advanced
426 pages
11h 13m
English
Content preview from Mastering Python for Finance - Second Edition
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Concept of an event-driven backtesting system
While working on designing and developing a backtest, it would be helpful to think in terms of the concept of creating video games. After all, we are trying to create a simulated market pricing and ordering environment, very much akin to creating a virtual gaming world. Trading can also be regarded as a thrilling game of buying low and selling high.
In a virtual trading environment, components are needed for the simulation of price feeds, the order-matching engine, the order-book management, as well as functions for account and position updates. To achieve these functionalities, we can explore the concept of an event-driven backtesting system.
Let's start by understanding the concept of an event-driven ...
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