Class TickBacktester

java.lang.Object

com.quantfinlib.backtest.tick.TickBacktester

All Implemented Interfaces:

TickTradingContext, TickFileReader.ReplayHandler

public final class TickBacktester
extends Object
implements TickFileReader.ReplayHandler, TickTradingContext

Event-driven tick-level backtester: replays a captured QFLT tick file through a TickStrategy with microstructure-aware fills — the level below the bar-based engines, where queue position decides whether your passive order actually trades.

Fill model (trade-print data, no book snapshots):

• Market orders fill instantly at the last trade price ± half the configured spread — the aggressor pays the spread.
• Limit orders fill fully when a print trades through the limit price. Prints at the limit price accumulate: the order starts behind defaultQueueAhead simulated resting quantity and fills (partially) only as traded volume works that queue off — passive fills must be earned, not assumed.
• Orders placed while handling a tick are eligible from the next tick, never against the print that triggered them.

Equity is sampled every equitySampleEvery ticks; metrics are computed on that sampled curve with periodsPerYear left at the bar-engine default, so compare Sharpe-style numbers only between runs with the same sampling interval.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	TickBacktester.Config	tickSize > 0 snaps limit-order matching to the exchange price grid (prices within the same tick are one level); 0 falls back to epsilon equality — use a real tick size with real market data.
static final record	TickBacktester.TickBacktestResult

Method Summary

Modifier and Type	Method	Description
boolean	cancel(long orderId)	Cancels a working limit order.
double	cash()
double	lastPrice(int symbolId)	Last traded price for the symbol (NaN before its first tick).
void	onSymbol(int symbolId, String symbol)
void	onTick(int symbolId, double price, double size, long timestampNanos)
long	position(int symbolId)
static TickBacktester.TickBacktestResult	run(TickStrategy strategy, Path tickFile, TickBacktester.Config config)	Replays the tick file through the strategy and returns the result.
long	submitLimit(int symbolId, Side side, double price, long quantity)	Places a passive limit order.
long	submitMarket(int symbolId, Side side, long quantity)	Immediate execution at the last trade price plus half the configured spread (aggressor pays the spread).
String	symbolName(int symbolId)	Symbol name for an id from the tick file.

Methods inherited from class java.lang.Object

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

Method Details

run

public static TickBacktester.TickBacktestResult run(TickStrategy strategy,
 Path tickFile,
 TickBacktester.Config config)
                                             throws IOException

Replays the tick file through the strategy and returns the result.

Throws:

IOException

onSymbol

public void onSymbol(int symbolId,
 String symbol)

Specified by:

onSymbol in interface TickFileReader.ReplayHandler

onTick

public void onTick(int symbolId,
 double price,
 double size,
 long timestampNanos)

Specified by:

onTick in interface TickFileReader.ReplayHandler

submitLimit

public long submitLimit(int symbolId,
 Side side,
 double price,
 long quantity)

Description copied from interface: TickTradingContext

Places a passive limit order. It fills when a later tick trades through the price, or partially as traded volume at the price works off the simulated queue ahead of it.

Specified by:

submitLimit in interface TickTradingContext

Returns:

order id for TickTradingContext.cancel(long)

submitMarket

public long submitMarket(int symbolId,
 Side side,
 long quantity)

Description copied from interface: TickTradingContext

Immediate execution at the last trade price plus half the configured spread (aggressor pays the spread). Returns a negative id if no price has been seen for the symbol yet.

Specified by:

submitMarket in interface TickTradingContext

cancel

public boolean cancel(long orderId)

Description copied from interface: TickTradingContext

Cancels a working limit order. False if unknown or already filled.

Specified by:

cancel in interface TickTradingContext

position

public long position(int symbolId)

Specified by:

position in interface TickTradingContext

cash

public double cash()

Specified by:

cash in interface TickTradingContext

lastPrice

public double lastPrice(int symbolId)

Description copied from interface: TickTradingContext

Last traded price for the symbol (NaN before its first tick).

Specified by:

lastPrice in interface TickTradingContext

symbolName

public String symbolName(int symbolId)

Description copied from interface: TickTradingContext

Symbol name for an id from the tick file.

Specified by:

symbolName in interface TickTradingContext