tick-backtest 0.1.1__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- tick_backtest-0.1.1/LICENSE +201 -0
- tick_backtest-0.1.1/MANIFEST.in +21 -0
- tick_backtest-0.1.1/PKG-INFO +346 -0
- tick_backtest-0.1.1/README.md +310 -0
- tick_backtest-0.1.1/pyproject.toml +93 -0
- tick_backtest-0.1.1/setup.cfg +4 -0
- tick_backtest-0.1.1/setup.py +33 -0
- tick_backtest-0.1.1/src/tick_backtest/__init__.py +90 -0
- tick_backtest-0.1.1/src/tick_backtest/_build.py +157 -0
- tick_backtest-0.1.1/src/tick_backtest/analysis/__init__.py +34 -0
- tick_backtest-0.1.1/src/tick_backtest/analysis/backtest_analysis.py +335 -0
- tick_backtest-0.1.1/src/tick_backtest/analysis/metric_stratification/__init__.py +45 -0
- tick_backtest-0.1.1/src/tick_backtest/analysis/metric_stratification/compile_report.py +140 -0
- tick_backtest-0.1.1/src/tick_backtest/analysis/metric_stratification/nice_graphs.py +253 -0
- tick_backtest-0.1.1/src/tick_backtest/analysis/metric_stratification/workflow.py +257 -0
- tick_backtest-0.1.1/src/tick_backtest/analysis/trade_analysis.py +367 -0
- tick_backtest-0.1.1/src/tick_backtest/analysis/trade_regression.py +167 -0
- tick_backtest-0.1.1/src/tick_backtest/analysis/trade_visualizer.py +367 -0
- tick_backtest-0.1.1/src/tick_backtest/api.py +152 -0
- tick_backtest-0.1.1/src/tick_backtest/backtest/__init__.py +14 -0
- tick_backtest-0.1.1/src/tick_backtest/backtest/backtest.py +336 -0
- tick_backtest-0.1.1/src/tick_backtest/backtest/backtest_coordinator.py +105 -0
- tick_backtest-0.1.1/src/tick_backtest/backtest/workflow.py +399 -0
- tick_backtest-0.1.1/src/tick_backtest/cli.py +102 -0
- tick_backtest-0.1.1/src/tick_backtest/config/backtest/test_backtest.yaml +24 -0
- tick_backtest-0.1.1/src/tick_backtest/config/metrics/test_metrics.yaml +53 -0
- tick_backtest-0.1.1/src/tick_backtest/config/strategy/test_strategy.yaml +31 -0
- tick_backtest-0.1.1/src/tick_backtest/config/templates/demo/backtest.yaml +13 -0
- tick_backtest-0.1.1/src/tick_backtest/config/templates/demo/metrics.yaml +39 -0
- tick_backtest-0.1.1/src/tick_backtest/config/templates/demo/strategy.yaml +17 -0
- tick_backtest-0.1.1/src/tick_backtest/config/templates/minimal/backtest.yaml +13 -0
- tick_backtest-0.1.1/src/tick_backtest/config/templates/minimal/metrics.yaml +13 -0
- tick_backtest-0.1.1/src/tick_backtest/config/templates/minimal/strategy.yaml +19 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/__init__.py +14 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/backtest/config_dataclass.py +35 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/backtest/config_parser.py +157 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/metrics/config_dataclass.py +41 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/metrics/config_parser.py +110 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/metrics/config_registry.py +35 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/metrics/dataclasses/__init__.py +14 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/metrics/dataclasses/drift_sign_config.py +49 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/metrics/dataclasses/ewma_config.py +58 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/metrics/dataclasses/ewma_slope_config.py +68 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/metrics/dataclasses/ewma_vol_config.py +97 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/metrics/dataclasses/session_config.py +25 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/metrics/dataclasses/spread_config.py +50 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/metrics/dataclasses/tick_rate_config.py +38 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/metrics/dataclasses/zscore_config.py +39 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/strategy/__init__.py +21 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/strategy/config_dataclass.py +114 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/strategy/config_parser.py +144 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/strategy/config_registry.py +31 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/strategy/entry_configs.py +164 -0
- tick_backtest-0.1.1/src/tick_backtest/config_parsers/utils/utils.py +113 -0
- tick_backtest-0.1.1/src/tick_backtest/config_validation/__init__.py +23 -0
- tick_backtest-0.1.1/src/tick_backtest/config_validation/backtest.py +121 -0
- tick_backtest-0.1.1/src/tick_backtest/config_validation/metrics.py +108 -0
- tick_backtest-0.1.1/src/tick_backtest/config_validation/schema_registry.py +65 -0
- tick_backtest-0.1.1/src/tick_backtest/config_validation/strategy.py +170 -0
- tick_backtest-0.1.1/src/tick_backtest/data_feed/__init__.py +14 -0
- tick_backtest-0.1.1/src/tick_backtest/data_feed/_data_feed.pyx +238 -0
- tick_backtest-0.1.1/src/tick_backtest/data_feed/_data_feed_py.py +194 -0
- tick_backtest-0.1.1/src/tick_backtest/data_feed/data_feed.py +66 -0
- tick_backtest-0.1.1/src/tick_backtest/data_feed/tick.py +41 -0
- tick_backtest-0.1.1/src/tick_backtest/data_feed/validation.py +147 -0
- tick_backtest-0.1.1/src/tick_backtest/demo_data/EURUSD/EURUSD_2000-01.parquet +0 -0
- tick_backtest-0.1.1/src/tick_backtest/demo_data/EURUSD/EURUSD_2000-02.parquet +0 -0
- tick_backtest-0.1.1/src/tick_backtest/demo_data/GBPUSD/GBPUSD_2000-01.parquet +0 -0
- tick_backtest-0.1.1/src/tick_backtest/demo_data/GBPUSD/GBPUSD_2000-02.parquet +0 -0
- tick_backtest-0.1.1/src/tick_backtest/exceptions.py +30 -0
- tick_backtest-0.1.1/src/tick_backtest/logging_utils.py +229 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/__init__.py +14 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/__init__.py +14 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/_drift_sign_metric.pyx +97 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/_ewma_metric.pyx +112 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/_ewma_slope_metric.pyx +142 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/_ewma_vol_metric.pyx +111 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/_session_metric.pyx +68 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/_spread_metric.pyx +105 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/_threshold_reversion_metric.pyx +359 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/_tick_rate_metric.pyx +78 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/_zscore_metric.pyx +92 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/drift_sign_metric.py +29 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/ewma_metric.py +83 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/ewma_slope_metric.py +82 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/ewma_vol_metric.py +29 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/session_metric.py +29 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/spread_metric.py +86 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/threshold_reversion_metric.py +29 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/tick_rate_metric.py +63 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/indicators/zscore_metric.py +29 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/manager/__init__.py +14 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/manager/_metrics_manager.pyx +94 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/manager/metric_registry.py +33 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/manager/metrics_manager.py +71 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/__init__.py +14 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/_base_metric.pxd +21 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/_base_metric.pyx +34 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/_ewma.pyx +62 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/_ewma_py.py +45 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/_tick_conversion.pxd +17 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/_tick_conversion.pyx +54 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/_tick_types.pxd +21 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/_time_rolling_window.pyx +188 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/_time_rolling_window_py.py +102 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/_time_weighted_histogram.pyx +220 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/_time_weighted_histogram_py.py +92 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/base_metric.py +29 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/ewma.py +33 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/time_rolling_window.py +37 -0
- tick_backtest-0.1.1/src/tick_backtest/metrics/primitives/time_weighted_histogram.py +33 -0
- tick_backtest-0.1.1/src/tick_backtest/position/__init__.py +14 -0
- tick_backtest-0.1.1/src/tick_backtest/position/position.py +70 -0
- tick_backtest-0.1.1/src/tick_backtest/py.typed +1 -0
- tick_backtest-0.1.1/src/tick_backtest/scripts/__init__.py +14 -0
- tick_backtest-0.1.1/src/tick_backtest/scripts/analyse_reversion_sweep.py +309 -0
- tick_backtest-0.1.1/src/tick_backtest/scripts/build_reversion_sweep.py +180 -0
- tick_backtest-0.1.1/src/tick_backtest/signals/__init__.py +14 -0
- tick_backtest-0.1.1/src/tick_backtest/signals/entries/__init__.py +33 -0
- tick_backtest-0.1.1/src/tick_backtest/signals/entries/base.py +48 -0
- tick_backtest-0.1.1/src/tick_backtest/signals/entries/ewma_crossover.py +98 -0
- tick_backtest-0.1.1/src/tick_backtest/signals/entries/null.py +37 -0
- tick_backtest-0.1.1/src/tick_backtest/signals/entries/threshold_reversion.py +116 -0
- tick_backtest-0.1.1/src/tick_backtest/signals/predicates.py +65 -0
- tick_backtest-0.1.1/src/tick_backtest/signals/signal_data.py +29 -0
- tick_backtest-0.1.1/src/tick_backtest/signals/signal_generator.py +110 -0
- tick_backtest-0.1.1/src/tick_backtest.egg-info/PKG-INFO +346 -0
- tick_backtest-0.1.1/src/tick_backtest.egg-info/SOURCES.txt +131 -0
- tick_backtest-0.1.1/src/tick_backtest.egg-info/dependency_links.txt +1 -0
- tick_backtest-0.1.1/src/tick_backtest.egg-info/entry_points.txt +2 -0
- tick_backtest-0.1.1/src/tick_backtest.egg-info/not-zip-safe +1 -0
- tick_backtest-0.1.1/src/tick_backtest.egg-info/requires.txt +8 -0
- tick_backtest-0.1.1/src/tick_backtest.egg-info/top_level.txt +1 -0
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# Copyright 2025 Edward Clewer
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#
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Metadata-Version: 2.4
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Name: tick-backtest
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Version: 0.1.1
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Summary: Local backtesting toolkit with Cython-accelerated primitives.
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Author: Edward Clewer
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Maintainer: Edward Clewer
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License-Expression: Apache-2.0
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Project-URL: Homepage, https://github.com/edwardclewer/tick_backtest
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Project-URL: Documentation, https://edwardclewer.github.io/tick_backtest/
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Project-URL: Issues, https://github.com/edwardclewer/tick_backtest/issues
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Project-URL: Changelog, https://github.com/edwardclewer/tick_backtest/blob/main/CHANGELOG.md
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Keywords: backtesting,foreign-exchange,quantitative-finance,trading,cython
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Classifier: Development Status :: 3 - Alpha
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Classifier: Environment :: Console
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Classifier: Intended Audience :: Financial and Insurance Industry
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Classifier: Intended Audience :: Science/Research
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Classifier: Operating System :: OS Independent
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Classifier: Programming Language :: Python
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Classifier: Programming Language :: Python :: 3
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Classifier: Programming Language :: Python :: 3.12
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Classifier: Programming Language :: Cython
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Classifier: Topic :: Office/Business :: Financial :: Investment
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Classifier: Topic :: Scientific/Engineering :: Information Analysis
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License-File: LICENSE
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Dynamic: license-file
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<!--
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Copyright 2025 Edward Clewer
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Licensed under the Apache License, Version 2.0 (the "License");
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you may not use this file except in compliance with the License.
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You may obtain a copy of the License at
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http://www.apache.org/licenses/LICENSE-2.0
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distributed under the License is distributed on an "AS IS" BASIS,
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WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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See the License for the specific language governing permissions and
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limitations under the License.
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-->
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# Tick Backtest
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*Deterministic tick-level FX backtesting for reproducible research.*
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Tick Backtest is a configuration-first Python 3.12 toolkit for reproducible FX strategy research. You provide Parquet ticks and YAML configs; the stack validates every setting, executes deterministic backtests, and writes manifests, logs, reports, and analysis artefacts to disk.
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### Highlights
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- **Performance:** ~8 million ticks/minute/core on AMD 5950X (Parquet → metrics → signals → trades)
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- **Deterministic runs:** Deterministic runs: config, git hash, dependency snapshot, and shard hashes captured per run
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- **Resilient pipelines:** Resilient pipelines: per-pair failure isolation, tick validation, and structured telemetry
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- **Declarative research:** Declarative research: swap YAML configs instead of editing code
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- **Report ready:** Report ready: trade tables, Markdown summaries, metric stratification CSV/PNG artefacts
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- **CLI + API parity:** Every supported command is exposed both as `tick-backtest ...` and `tick_backtest.api.*(...)`
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Documentation is hosted here: [Documentation Site](https://edwardclewer.github.io/tick_backtest/).
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Release process details are documented in [docs/releasing.md](docs/releasing.md).
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---
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## Quickstart
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1. **Install prerequisites**
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```bash
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python3.12 -m venv .venv
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source .venv/bin/activate
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pip install tick-backtest
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```
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2. **Write a starter config**
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tick-backtest example-config --output ./demo --include-demo-data
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```
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3. **Run the bundled demo project**
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```bash
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tick-backtest run ./demo/backtest.yaml
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```
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4. **Generate report artefacts for a single trade file**
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```bash
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tick-backtest report ./demo/output/<RUN_ID>/output/EURUSD/trades.parquet
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```
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5. **Run multivariate trade analysis**
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```bash
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tick-backtest analyze ./demo/output/<RUN_ID>/output/EURUSD/trades.parquet
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```
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The same surface is available from Python:
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```python
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from tick_backtest import api
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api.example_config("./demo", include_demo_data=True)
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api.run("./demo/backtest.yaml")
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api.report("./demo/output/<RUN_ID>/output/EURUSD/trades.parquet")
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api.analyze("./demo/output/<RUN_ID>/output/EURUSD/trades.parquet")
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```
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The generated demo project includes:
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- `backtest.yaml`, `metrics.yaml`, and `strategy.yaml`
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- `demo_data/` with bundled EURUSD and GBPUSD parquet shards
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- `output/` as the run destination declared in the emitted config
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Config surfaces are intentionally split:
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- `src/tick_backtest/config/templates/` and `src/tick_backtest/demo_data/` are the public packaged assets used by installed users.
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- `config/` at the repository root is for checkout-only development, smoke tests, and CI golden runs.
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For your own data instead of the bundled demo, emit the generic starter templates:
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```bash
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tick-backtest example-config --output ./tick-backtest-config
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```
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Then edit the generated YAML files:
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```yaml
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# tick-backtest-config/backtest.yaml
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data_base_path: "/abs/path/to/your/parquet/shards"
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output_base_path: "/abs/path/to/backtest/output"
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metrics_config_path: "./metrics.yaml"
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strategy_config_path: "./strategy.yaml"
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```
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Inspect outputs under the configured `output_base_path`:
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| Path | Purpose |
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| --- | --- |
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| `manifest.json` | Immutable run snapshot (configs, git hash, shard hashes, status). |
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| `output/logs/<RUN_ID>.log` | Structured NDJSON log with validation summaries and errors. |
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| `output/<PAIR>/trades.parquet` | Trade-level dataset including metrics and PnL. |
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| `output/<PAIR>/analysis/report.md` | Markdown analysis summary with equity plots. |
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| `configs/*.yaml` | Copies of backtest/metrics/strategy configs with SHA256 digests. |
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---
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## Public Commands
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| Command | Input | Output location |
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| --- | --- | --- |
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| `tick-backtest run <backtest.yaml>` | Backtest config | Writes a run directory under `output_base_path/<RUN_ID>/` |
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| `tick-backtest report <trades.parquet>` | Trade database | Writes trade report artefacts and metric stratification beside the parquet file |
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| `tick-backtest analyze <trades.parquet>` | Trade database | Writes `multivariate_analysis/` beside the parquet file |
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| `tick-backtest example-config [--output DIR] [--include-demo-data]` | Optional destination dir | Prints starter YAML or writes a template set or runnable demo project |
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## Configuration Cheat Sheet
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Tick Backtest is driven by three YAML files that are validated against strict schemas (unknown keys and duplicates are rejected).
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<details>
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<summary><strong>Backtest YAML</strong></summary>
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```yaml
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schema_version: "1.0"
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pairs: [EURUSD, GBPUSD]
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start: 2012-02
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end: 2013-02
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pip_size: 0.0001
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warmup_seconds: 1800
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data_base_path: "/data/dukascopy/"
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output_base_path: "/results/backtests/"
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metrics_config_path: "config/metrics/default_metrics.yaml"
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strategy_config_path: "config/strategy/default_strategy.yaml"
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```
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Key fields: pair list, inclusive year-month span, data/output roots, warmup length, and the metric/strategy config locations.
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</details>
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<details>
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<summary><strong>Metrics YAML</strong></summary>
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```yaml
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metrics:
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- name: z30m
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type: zscore
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enabled: true
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params:
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lookback_seconds: 1800
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- name: ewma_vol_5m
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type: ewma_vol
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params:
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tau_seconds: 300
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percentile_horizon_seconds: 300
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bins: 256
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base_vol: 0.0001
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stddev_cap: 5.0
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```
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Entries wire directly into registries; unknown types or duplicate names raise immediately.
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</details>
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<details>
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<summary><strong>Strategy YAML</strong></summary>
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```yaml
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strategy:
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name: threshold_reversion_strategy
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entry:
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engine: threshold_reversion
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params:
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threshold_pips: 10
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tp_pips: 10
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sl_pips: 20
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trade_timeout_seconds: 7200
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predicates:
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- metric: tick_rate_30s.tick_rate_per_min
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operator: "<"
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value: 200
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exit:
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name: default_exit
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predicates: []
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```
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Entry engines and predicates gate trade opens; exit predicates can force closures.
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</details>
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Need full schemas or extension guidance? See the [Configuration Guide](https://edwardclewer.github.io/tick_backtest/configs/).
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---
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## Python API
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| Function | Purpose |
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| --- | --- |
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| `tick_backtest.api.run(config_path, *, output_root=None)` | Run the backtest engine and write run artefacts only |
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| `tick_backtest.api.report(trades_path)` | Generate trade report artefacts and metric stratification outputs |
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| `tick_backtest.api.analyze(trades_path)` | Generate multivariate regression-style analysis outputs |
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| `tick_backtest.api.example_config(dest=None, *, template="minimal", include_demo_data=False)` | Print or write starter YAML templates, optionally with bundled demo data |
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The API is intentionally filesystem-oriented. It writes artefacts to disk and does not aim to return in-memory result objects.
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---
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+
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## Repository Development
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If you are working from a checkout rather than an installed package:
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```bash
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python3.12 -m venv .venv
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source .venv/bin/activate
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pip install -r requirements.txt
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pip install -e .
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pytest
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```
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+
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Legacy repo scripts under `scripts/` still exist for internal development and CI coverage, but installed usage should go through `tick-backtest` or `tick_backtest.api`.
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+
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## Release Posture
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+
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The project is versioned for public releases starting at `0.1.0`. Tagged releases publish via GitHub Actions using staged TestPyPI then PyPI trusted publishing. See [docs/releasing.md](docs/releasing.md) and [CHANGELOG.md](CHANGELOG.md).
|
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+
|
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260
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+
---
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261
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+
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262
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## Architecture Snapshot
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- `config/` – versioned YAML templates validated before runtime.
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264
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+
- `src/tick_backtest/config_parsers/` – schema validation → immutable dataclasses.
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265
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- `src/tick_backtest/data_feed/` – compiled tick loader with Python fallback; wrapped by `TickValidator`.
|
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266
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- `src/tick_backtest/backtest/` – `BacktestCoordinator` orchestrates per-pair runs; `Backtest` executes signals and positions.
|
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267
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+
- `src/tick_backtest/metrics/` – registries and indicator implementations (compiled with Python fallbacks).
|
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268
|
+
- `src/tick_backtest/signals/` – predicate-aware entry/exit engines.
|
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269
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+
- `src/tick_backtest/analysis/` – reporting, stratification, and plotting utilities.
|
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270
|
+
- `tests/` – unit, integration, and regression coverage across parsers, primitives, and pipeline stages.
|
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271
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+
|
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272
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+
**Data & validation flow**
|
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1. Configs are parsed with forbid-by-default schemas (`config_validation/*`).
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|
+
2. Tick feeds stream from Parquet; invalid ticks are skipped but logged.
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275
|
+
3. Per-pair runs are isolated; errors are captured without aborting the batch.
|
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276
|
+
4. Outputs, manifests, and environment snapshots land under `output/backtests/<RUN_ID>/`.
|
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277
|
+
|
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278
|
+
**Design Choice**: sequential execution avoids lookahead; scale comes from multi-pair orchestration and sweep automation.
|
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279
|
+
Dive deeper in the [Developer Notes](https://edwardclewer.github.io/tick_backtest/dev/internals/).
|
|
280
|
+
|
|
281
|
+
---
|
|
282
|
+
|
|
283
|
+
## Troubleshooting Essentials
|
|
284
|
+
|
|
285
|
+
| Symptom | Likely Cause | Fix |
|
|
286
|
+
| --- | --- | --- |
|
|
287
|
+
| `ConfigError: unknown field ...` | Extra keys in YAML | Remove or rename; see [Configuration Guide](https://edwardclewer.github.io/tick_backtest/configs/). |
|
|
288
|
+
| `pyarrow` import error | Wheel missing | Install pinned version from `requirements.txt` and rerun. |
|
|
289
|
+
| Run finishes but no trades | Warmup consumed data or predicates blocked | Check `output/logs/<RUN_ID>.log` and entry predicates. |
|
|
290
|
+
| Manifest shows `missing_file` | `data_base_path` doesn’t match shard layout | Adjust path or supply expected Parquet shards. |
|
|
291
|
+
| Percentile metrics return `NaN` | Histogram warming up | Feed more ticks; expected during first few minutes. |
|
|
292
|
+
|
|
293
|
+
---
|
|
294
|
+
|
|
295
|
+
## Compatibility & Dependencies
|
|
296
|
+
- Python 3.12
|
|
297
|
+
- `numpy >= 1.26, < 3.0`
|
|
298
|
+
- `pandas >= 1.5, < 2.3`
|
|
299
|
+
- `pyarrow >= 10.0, < 16.0`
|
|
300
|
+
- `matplotlib >= 3.7, < 3.9`
|
|
301
|
+
- `pyyaml >= 6.0, < 6.1`
|
|
302
|
+
|
|
303
|
+
Running offline? Pre-install these wheels in your environment. Backtests abort if `pip freeze` fails (dependency snapshot is required).
|
|
304
|
+
|
|
305
|
+
---
|
|
306
|
+
|
|
307
|
+
## Testing & CI
|
|
308
|
+
|
|
309
|
+
```bash
|
|
310
|
+
python3.12 -m venv .venv
|
|
311
|
+
source .venv/bin/activate
|
|
312
|
+
pip install -r requirements.txt
|
|
313
|
+
pip install -e .
|
|
314
|
+
pytest
|
|
315
|
+
```
|
|
316
|
+
|
|
317
|
+
Coverage highlights:
|
|
318
|
+
- `tests/config_parsers` – YAML schema governance & regression checks.
|
|
319
|
+
- `tests/data_feed` – tick validation and resilience.
|
|
320
|
+
- `tests/metrics` – primitives plus indicator mathematics with reference helpers.
|
|
321
|
+
- `tests/integration/test_backtest_run.py` – end-to-end pipeline regression.
|
|
322
|
+
|
|
323
|
+
GitHub Actions builds wheels, runs tests, validates distribution metadata, and publishes docs via `.github/workflows/mkdocs.yml`.
|
|
324
|
+
|
|
325
|
+
---
|
|
326
|
+
|
|
327
|
+
## Extending the Stack
|
|
328
|
+
- **Add a metric** – create a dataclass under `metrics/dataclasses`, register it in `metrics/config_registry.py`, implement runtime logic. Validation blocks duplicates.
|
|
329
|
+
- **Add a signal engine** – add a class in `signals/entries`, register it in `ENTRY_ENGINE_REGISTRY`, and expose parameters in strategy YAML.
|
|
330
|
+
- **Support new data layouts** – extend `tick_backtest.data_feed` for alternative Parquet conventions; the validator enforces monotonic timestamps and finite spreads.
|
|
331
|
+
|
|
332
|
+
See the [Developer Notes](https://edwardclewer.github.io/tick_backtest/dev/internals/) for dependency maps, testing expectations, and release checklists.
|
|
333
|
+
|
|
334
|
+
---
|
|
335
|
+
|
|
336
|
+
## Next Steps
|
|
337
|
+
1. Generate a starter config with `tick-backtest example-config`.
|
|
338
|
+
2. Point it at your own Parquet tick data.
|
|
339
|
+
3. Run `tick-backtest run` and inspect the generated manifest and pair-level artefacts.
|
|
340
|
+
4. Explore the [documentation](https://edwardclewer.github.io/tick_backtest/) for advanced configuration and internals.
|
|
341
|
+
|
|
342
|
+
---
|
|
343
|
+
|
|
344
|
+
**Author**: Edward Clewer
|
|
345
|
+
**License**: Apache License 2.0
|
|
346
|
+
**Docs**: [Docs](https://edwardclewer.github.io/tick_backtest/)
|