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Chapter 4: Event-Driven Backtesting Principles

This chapter is currently maintained in Chinese first.

  • Chinese chapter: 第 4 章：事件驱动回测原理 (Event-Driven Architecture)
  • New three-axis note: fill_policy={"price_basis": "...", "bar_offset": 0_or_1, "temporal": "..."} is now the recommended public style.
  • Configuration layering note (highest to lowest): order-level > strategy-map level (strategy_*) > run-level > market defaults.
  • T+1 scope note: t_plus_one currently remains a run/market-level switch, not a per-strategy layered setting.
  • Time ordering note:
  • The event loop orders and advances time in UTC.
  • Structured fields such as event_time_iso, bar.timestamp_iso, and trade.timestamp_iso are intentionally UTC ISO 8601 strings.
  • Local timezone conversion is a display concern, handled by helpers like self.now, self.to_local_time(...), and self.format_time(...).
  • In short: UTC keeps the engine correct; local time keeps the output readable.
  • Textbook home: Chinese textbook index
  • Practice links:
  • Primary example: examples/textbook/ch04_comparison.py
  • Extended example: examples/25_streaming_backtest_demo.py
  • Guide: Data Guide