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Backtester: Book State and Execution #86

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echavemann opened this issue Dec 1, 2024 · 0 comments
Open

Backtester: Book State and Execution #86

echavemann opened this issue Dec 1, 2024 · 0 comments

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@echavemann
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This PR is definitely the most hefty of the backtesting PRs. This will require a function that takes in Actions, and then executes them against the book state that should already be loaded. This needs to be able to handle both Maker and Taker orders, and needs to handle dynamic TAKER_FEE and MAKER_FEE rates (see Kraken USDT Futures Fees as an example.)

Obviously it should keep track of capital, leverage, and trades made, and present output PnL and similar.

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