Class ExecutionAwareResult

java.lang.Object

com.quantfinlib.backtest.ExecutionAwareResult

public final class ExecutionAwareResult
extends Object

Result of an execution-aware backtest: the standard BacktestResult (equity curve, trades, performance metrics) plus the full parent-order / child-fill history, with one-call TCA per parent order.

Method Summary

Modifier and Type	Method	Description
List<Execution>	allFills()	Every child fill of the run, in execution order.
BacktestResult	backtest()
List<ParentOrder>	parentOrders()
TransactionCostAnalyzer.TcaReport	tca(ParentOrder parent)	Transaction cost analysis for one parent order: arrival mid = close at the signal bar, market VWAP = volume-weighted close over the fill interval, per-fill mid = close of the fill bar.

Methods inherited from class java.lang.Object

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

Method Details

backtest

public BacktestResult backtest()

parentOrders

public List<ParentOrder> parentOrders()

allFills

public List<Execution> allFills()

Every child fill of the run, in execution order.

tca

public TransactionCostAnalyzer.TcaReport tca(ParentOrder parent)

Transaction cost analysis for one parent order: arrival mid = close at the signal bar, market VWAP = volume-weighted close over the fill interval, per-fill mid = close of the fill bar.

Throws:

IllegalArgumentException - if the parent has no fills