Event-driven backtesting platform for quantitative financial trading strategy research
Each time-stamp generate Market event, calculating signal event---->order event------>fill event
1. event.py: build event class
2. data.py: Read data from CSV to pandas.dataframe
Yield every time-stamp data point by using generator
3. portfolio.py Handle the signal event generated by strategy
Update portfolio in every time-stamp
Generate order invent
4.execution.py generate fill event from order event
5.performance.py
Calculating Sharp ratio/Drawdowm
6.strategy.py Build strategy event class