Class ExecutionAlgoBacktester

java.lang.Object

com.quantfinlib.backtest.ExecutionAlgoBacktester

public final class ExecutionAlgoBacktester
extends Object

Backtests the dynamic execution stack over bar data. It is the bridge between execution.BenchmarkExecutor (built for live intervals) and the backtest lane: replay a session's bars, let the executor re-decide each bar exactly as it would live, fill against the bar with a TradeCostModel, and grade the result the way a TCA desk would (implementation shortfall vs arrival, slippage vs the session VWAP). ExecutionAwareBacktester answers "how do fills change a strategy's results?"; this answers the execution desk's own question: "which benchmark algorithm, and at what cost?" One parent order, N bars, a number per benchmark.

Simplifications: fills print at the bar close plus the cost model's bps (no intra-bar microstructure). The per-bar liquidity cap is participationCap × bar volume, and it is the only cap: the executor is constructed with its internal depth fraction at 1 so the two knobs cannot silently compound. The VWAP volume curve uses the session's realized cumulative volume. That is an oracle curve, so the VWAP benchmark result here is an upper bound on what a live volume-curve forecast can achieve (live, use microstructure.VolumeCurve). Each bar's volume enters the POV target before that bar trades: one bar of look-ahead versus a strictly reactive live POV, so POV completion here is mildly optimistic. Deterministic: same bars, same config, same numbers. Research lane.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	ExecutionAlgoBacktester.Config	Execution simulation settings.
static final record	ExecutionAlgoBacktester.Result	The TCA-style verdict for one parent worked over one session.

Constructor Summary

Constructors

Constructor	Description
ExecutionAlgoBacktester()
ExecutionAlgoBacktester(ExecutionAlgoBacktester.Config config)

Method Summary

Modifier and Type	Method	Description
ExecutionAlgoBacktester.Result	run(BarSeries series, Side side, long parentQty, BenchmarkExecutor.Benchmark benchmark)	run(BarSeries, Side, long, BenchmarkExecutor.Benchmark, double) for the time/volume benchmarks (no POV rate needed).
ExecutionAlgoBacktester.Result	run(BarSeries series, Side side, long parentQty, BenchmarkExecutor.Benchmark benchmark, double povRate)	Works parentQty through the session under benchmark and grades it.

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

ExecutionAlgoBacktester

public ExecutionAlgoBacktester(ExecutionAlgoBacktester.Config config)

ExecutionAlgoBacktester

public ExecutionAlgoBacktester()

Method Details

run

public ExecutionAlgoBacktester.Result run(BarSeries series,
 Side side,
 long parentQty,
 BenchmarkExecutor.Benchmark benchmark,
 double povRate)

Works parentQty through the session under benchmark and grades it. Participation parents use BenchmarkExecutor.pov(Side, long, double) with povRate; other benchmarks ignore it.

run

public ExecutionAlgoBacktester.Result run(BarSeries series,
 Side side,
 long parentQty,
 BenchmarkExecutor.Benchmark benchmark)

run(BarSeries, Side, long, BenchmarkExecutor.Benchmark, double) for the time/volume benchmarks (no POV rate needed).