feat(tick): add run_tick_backtest — tick-native simulation engine, bump to 0.4.0

Adds a full tick-level backtest path that operates on raw tick arrays
(ltp, bid, ask, per-tick buy/sell qty deltas, oi) plus caller-computed
entry/exit signal bool arrays. Entry fills at ask+slippage; stop/target
checked against ltp on every tick; max-hold-seconds time exit; cooldown
between entries. Produces identical BacktestMetrics as run_single_backtest
via the new compute_backtest_metrics free fn.

5 Rust unit tests: target-hit, stop-hit, time-exit, multi-trade-with-cooldown,
empty-ticks edge case — all pass (138 total, 0 failed).

Co-Authored-By: porcelaincode <contact@alphabench.in>
This commit is contained in:
porcelaincode
2026-06-03 21:27:54 +05:30
co-authored by porcelaincode
parent 514c235f1c
commit fa6959bb99
8 changed files with 454 additions and 4 deletions
+2
View File
@@ -6,6 +6,7 @@ pub mod options;
pub mod pairs;
pub mod single;
pub mod spreads;
pub mod tick;
pub use basket::BasketBacktest;
pub use multi::MultiStrategyBacktest;
@@ -15,3 +16,4 @@ pub use single::SingleBacktest;
pub use spreads::{
LegConfig, OptionType as SpreadOptionType, SpreadBacktest, SpreadConfig, SpreadType,
};
pub use tick::{TickBacktest, TickBacktestConfig};