75 lines
2.1 KiB
TypeScript
75 lines
2.1 KiB
TypeScript
/**
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* Event-Driven Backtesting Mode
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* Processes data point by point with realistic order execution
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*/
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import { ExecutionMode, MarketData, Order, OrderResult } from '../../framework/execution-mode';
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export interface BacktestConfig {
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startDate: Date;
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endDate: Date;
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initialCapital: number;
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slippageModel?: string;
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commissionModel?: string;
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}
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export class EventMode extends ExecutionMode {
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name = 'event-driven';
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private simulationTime: Date;
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private historicalData: Map<string, MarketData[]> = new Map();
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constructor(private config: BacktestConfig) {
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super();
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this.simulationTime = config.startDate;
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}
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async executeOrder(order: Order): Promise<OrderResult> {
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this.logger.debug('Simulating order execution', {
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orderId: order.id,
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simulationTime: this.simulationTime,
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});
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// TODO: Implement realistic order simulation
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// Include slippage, commission, market impact
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const simulatedResult: OrderResult = {
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orderId: order.id,
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symbol: order.symbol,
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executedQuantity: order.quantity,
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executedPrice: 100, // TODO: Get realistic price
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commission: 1.0, // TODO: Calculate based on commission model
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slippage: 0.01, // TODO: Calculate based on slippage model
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timestamp: this.simulationTime,
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executionTime: 50, // ms
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};
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return simulatedResult;
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}
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getCurrentTime(): Date {
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return this.simulationTime;
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}
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async getMarketData(symbol: string): Promise<MarketData> {
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const data = this.historicalData.get(symbol) || [];
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const currentData = data.find(d => d.timestamp <= this.simulationTime);
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if (!currentData) {
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throw new Error(`No market data available for ${symbol} at ${this.simulationTime}`);
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}
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return currentData;
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}
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async publishEvent(event: string, data: any): Promise<void> {
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// In-memory event bus for simulation
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this.logger.debug('Publishing simulation event', { event, data });
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}
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// Simulation control methods
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advanceTime(newTime: Date): void {
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this.simulationTime = newTime;
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}
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loadHistoricalData(symbol: string, data: MarketData[]): void {
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this.historicalData.set(symbol, data);
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}
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}
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