Package com.wualabs.qtsurfer.engine.strategy.backtest.simulation

package com.wualabs.qtsurfer.engine.strategy.backtest.simulation
  • Class
    Description
    FeeContext
    The inputs a FeeModel needs to decide a fill's fee rate.
    FeeModel
    Decides the fee RATE (decimal, e.g. 0.001 = 0.1%) charged on a backtest fill .
    FillPolicy
    Decides WHEN a backtest signal fills.
    FixedBpsSlippage
    A SlippageModel that moves the execution price a fixed number of basis points adverse-to-trader: BUY fills execute higher than the signal price, SELL fills execute lower .
    FixedFeeModel
    The DEFAULT FeeModel: a fixed decimal rate per side, ignoring liquidity .
    ImmediateFill
    The DEFAULT FillPolicy: every signal fills on the same tick it was raised on — reproducing today's inline fill timing byte-for-byte.
    Liquidity
    Which side of the order book a fill takes, for maker/taker fee routing .
    MakerTakerFeeModel
    A FeeModel charging a different rate depending on whether the fill made or took liquidity.
    NoSlippage
    The DEFAULT SlippageModel: returns the signal price unchanged — reproducing today's zero-slippage fills byte-for-byte.
    SlippageContext
    The inputs a SlippageModel needs to adjust a signal price into an execution price.
    SlippageModel
    Adjusts a signal price into the price a backtest fill actually executes at .