Package com.quantfinlib.backtest.tick

package com.quantfinlib.backtest.tick

Event-driven tick-level backtesting — the level below bars, where queue position decides whether a passive order actually trades: TickBacktester replays QFLT tick files through a TickStrategy with microstructure-aware fills (market orders pay half the spread; limit orders fill on trade-through or earn fills print-by-print against a simulated queue; optional tick-size grid for real-world prices; no fills against the triggering print).

Related Packages

Package	Description
com.quantfinlib.backtest	Bar-based backtesting.
com.quantfinlib.backtest.portfolio	Multi-asset backtesting: PortfolioBacktester rebalances long/short weight targets from a PortfolioStrategy with commission and turnover tracking (input series must be index-aligned — see data.SeriesAligner), and in its survivorship-aware overload consumes a data.PointInTimeUniverse (delistings terminate at the delisting return, mergers convert at deal terms, index drops force sales) plus explicit ex-date cash dividends; CrossSectionalMomentum is the built-in point-in-time factor strategy (12-1 momentum ranked over the members alive at each rebalance); PositionSizing supplies Kelly, fixed-fractional risk, inverse-volatility weights and vol-target leverage.
com.quantfinlib.backtest.strategies	Built-in TradingStrategy implementations: SMA/EMA crossovers, RSI mean reversion, MACD signal-line cross, and Bollinger band reversion.
com.quantfinlib.backtest.validation	The defense against overfit backtests: ParameterGrid + GridSearchOptimizer enumerate and rank parameter combinations; WalkForwardAnalyzer optimizes on rolling train windows and evaluates on unseen test windows, stitching out-of-sample equity (capital carries across folds) and reporting the walk-forward efficiency ratio; SharpeValidation applies the Bailey/López de Prado probabilistic and deflated Sharpe — the multiple-testing haircut for grid-picked winners — plus the minimum track record length (how many periods before the record MEANS something, in closed form); BlockBootstrap hands the backtest Sharpe its sampling DISTRIBUTION (stationary Politis-Romano blocks — an iid resample destroys the autocorrelation and understates the uncertainty, the classic route to false confidence): the honest question is whether the 5th percentile is still positive, not whether 1.2 is a good number.

Class	Description
TickBacktester	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.
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.
TickBacktester.TickBacktestResult
TickStrategy	An event-driven strategy for the TickBacktester: sees every tick in sequence and trades through the TickTradingContext.
TickTradingContext	Order entry and account access for a TickStrategy.