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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.
The text was updated successfully, but these errors were encountered:
This PR is definitely the most hefty of the backtesting PRs. This will require a function that takes in
Action
s, 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.
The text was updated successfully, but these errors were encountered: