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Overview

The BacktestEngine is the main component for running strategy backtests. It processes market data events, manages order execution, tracks positions, enforces risk limits, and calculates performance metrics. Source: nano-backtest/src/engine.rs

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Constructor

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new

Creates a new backtest engine with the specified configuration. 
pub fn new(config: BacktestConfig) -> Self
Parameters:
  • config: BacktestConfig - Configuration including latency, fees, risk, and execution settings
Returns: A new BacktestEngine instance in the Ready state Example: 
use nano_backtest::{BacktestConfig, BacktestEngine};

let config = BacktestConfig::default();
let engine = BacktestEngine::new(config);

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State Management

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Engine States

The engine progresses through the following states: 
pub enum EngineState {
    Ready,      // Engine is ready to run
    Running,    // Engine is running
    Paused,     // Engine is paused
    Completed,  // Engine has completed
    Stopped,    // Engine was stopped due to error or risk breach
}

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state

Returns the current engine state. 
pub fn state(&self) -> EngineState

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Instrument Registration

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register_instrument

Registers an instrument for trading in the backtest. 
pub fn register_instrument(&mut self, instrument: Instrument)
Parameters:
  • instrument: Instrument - The instrument to register
Details:
  • Creates an order book for the instrument
  • Initializes position tracking
  • Required before processing market data for the instrument
Example: 
let instrument = Instrument::es_future(1, "ESH24");
engine.register_instrument(instrument);

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Running the Backtest

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run

Runs the complete backtest with a strategy. 
pub fn run<S: Strategy>(&mut self, strategy: &mut S)
Parameters:
  • strategy: &mut S - Mutable reference to a strategy implementing the Strategy trait
Details:
  • Processes all events in the event queue
  • Updates metrics and statistics continuously
  • Stops when queue is empty or risk limits are breached
  • Transitions to Completed or Stopped state
Example: 
use nano_core::traits::Strategy;

let mut my_strategy = MyStrategy::new();
engine.run(&mut my_strategy);

// Check results
let metrics = engine.metrics();
println!("Total P&L: ${:.2}", metrics.total_pnl);

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run_n

Runs the backtest for a limited number of events. 
pub fn run_n<S: Strategy>(&mut self, strategy: &mut S, max_events: usize) -> usize
Parameters:
  • strategy: &mut S - Mutable reference to a strategy
  • max_events: usize - Maximum number of events to process
Returns: Number of events actually processed Use case: Step-through debugging or incremental processing

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Event Processing

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schedule_event

Schedules an event to be processed at a specific timestamp. 
pub fn schedule_event(&mut self, timestamp: Timestamp, event_type: EventType)
Parameters:
  • timestamp: Timestamp - When the event should occur
  • event_type: EventType - Type of event (market data, order submit, fill, etc.)

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process_event

Processes a single event from the queue. 
pub fn process_event<S: Strategy>(&mut self, event: Event, strategy: &mut S)
Event types handled:
  • MarketData - Triggers strategy’s on_market_data callback
  • OrderSubmit - Submits order to simulated exchange
  • OrderAck - Notifies strategy of order acknowledgment
  • OrderFill - Applies fill to position and notifies strategy
  • OrderCancel - Notifies strategy of cancellation
  • OrderReject - Notifies strategy of rejection
  • EndOfData - Marks backtest completion

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Order Book Access

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get_book

Gets an immutable reference to an instrument’s order book. 
pub fn get_book(&self, instrument_id: u32) -> Option<&OrderBook>

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get_book_mut

Gets a mutable reference to an instrument’s order book. 
pub fn get_book_mut(&mut self, instrument_id: u32) -> Option<&mut OrderBook>

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Metrics and Statistics

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metrics

Returns reference to performance metrics. 
pub fn metrics(&self) -> &BacktestMetrics
Includes:
  • Total/realized/unrealized P&L
  • Trade counts and win rate
  • Drawdown statistics
  • Volume and fill statistics
See BacktestMetrics for details.

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stats

Returns reference to detailed performance statistics. 
pub fn stats(&self) -> &PerformanceStats
Includes:
  • Sharpe and Sortino ratios
  • Equity curve
  • Daily returns
  • Consecutive win/loss tracking

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positions

Returns reference to the position tracker. 
pub fn positions(&self) -> &PositionTracker

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risk

Returns reference to the risk manager. 
pub fn risk(&self) -> &RiskManager

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Status Information

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current_time

Returns the current simulation timestamp. 
pub fn current_time(&self) -> Timestamp

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events_processed

Returns the number of events processed. 
pub fn events_processed(&self) -> u64

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pending_events

Returns the number of events remaining in the queue. 
pub fn pending_events(&self) -> usize

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Reset

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reset

Resets the engine to initial state for a new backtest run. 
pub fn reset(&mut self)
Resets:
  • Event queue
  • Exchange simulator
  • Positions and P&L
  • Metrics and statistics
  • Order books (cleared but not removed)
  • State to Ready

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Complete Example

use nano_backtest::{BacktestConfig, BacktestEngine};
use nano_core::types::Instrument;

// Create engine with configuration
let config = BacktestConfig::aggressive_hft();
let mut engine = BacktestEngine::new(config);

// Register instruments
let es_future = Instrument::es_future(1, "ESH24");
engine.register_instrument(es_future);

// Load market data and schedule events
// ... (populate event queue with market data)

// Run backtest
let mut strategy = MyHFTStrategy::new();
engine.run(&mut strategy);

// Analyze results
let metrics = engine.metrics();
let stats = engine.stats();

println!("P&L: ${:.2}", metrics.total_pnl);
println!("Sharpe Ratio: {:.2}", stats.sharpe_ratio);
println!("Max Drawdown: {:.2}%", metrics.max_drawdown_pct * 100.0);
println!("Win Rate: {:.2}%", metrics.win_rate() * 100.0);

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See Also

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