Tick signal generation (src/signals/tick_signals.rs):
- tick_momentum_entry: O(N) single-pass entry signal array from spread/BSI/return
gates with cooldown enforcement; replaces the Python O(N×120) entry-check loop
- tick_momentum_exit: time-based (EOD) exit bool array from tick timestamps
Tick feature extraction (src/indicators/tick_features.rs):
- tick_spread_pct: (ask-bid)/mid * 100, element-wise
- buy_sell_imbalance_delta: per-tick delta BSI from Zerodha cumulative session
totals — fixes the ~0.95 all-day artefact from raw cumulative sums
- return_window: lookback return over configurable time window, binary search
O(N log N); returns NaN where history insufficient (no silent pass-through)
- realized_vol_rolling: rolling stddev of log-returns as realized vol proxy
- oi_position_pct: OI position within day's high/low range [0, 100]
- tick_velocity: rolling ticks/min over configurable window
Python bindings: compute_tick_entry_signals, compute_tick_exit_signals,
tick_spread_pct, buy_sell_imbalance_delta, return_window, realized_vol_rolling,
oi_position_pct, tick_velocity — all with numpy array I/O and default args.
15 new Rust unit tests (7 signal, 8 feature); 153 total, 0 failed.
Co-Authored-By: porcelaincode <contact@alphabench.in>
signal_start = (slow_period-1) + (signal_period-1) = 24+8 = 32,
so signal_line[33] is the first valid value, not NaN. Test was
asserting [33].is_nan() which was always wrong.
Co-Authored-By: porcelaincode <contact@alphabench.in>
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>
- TickData: parallel tick arrays (timestamps, ltp, bid, ask, buy_qty_delta,
sell_qty_delta, oi) with len/is_empty helpers; callers must pre-convert
Zerodha cumulative totals to per-tick deltas before passing
- ExitReason::TimeExit: max hold time exceeded variant for tick backtest
- compute_backtest_metrics: pub free fn wrapping PortfolioEngine::calculate_metrics
so non-OHLCV strategies can produce identical metrics without duplication
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Add settlement logic for option expiry with Settlement exit reason, leg_expiry_timestamps parameter for per-leg expiry tracking, and new single-leg spread types (LongCall, LongPut, NakedCall, NakedPut). Positions are force-closed at settlement with premiums replaced by intrinsic value, and re-entry is prevented after all legs expire.
Introduces PyBatchSpreadItem and batch_spread_backtest function for running multiple spread strategies in parallel using Rayon, enabling efficient multi-strategy backtesting workflows.
Add two new risk/reward metrics to BacktestMetrics:
- payoff_ratio: avg winning return / avg losing return (absolute)
- recovery_factor: net profit / max drawdown in absolute terms
Computed in both StreamingMetrics::finalize() and PortfolioEngine.
Exposed via PyO3 with #[pyo3(get)] on PyBacktestMetrics.
Updated README with API reference and changelog.
- Add Monte Carlo forward simulation using Geometric Brownian Motion
- Support correlated multi-asset simulation with Cholesky decomposition
- Implement parallel execution via Rayon for performance
- Expose simulate_portfolio_mc function in Python bindings
- Update version from 0.3.0 to 0.3.1 across all project files
* feat: add session tracking and multi-leg spread backtesting
Add SessionTracker for trading session management: - Market hours detection (pre-open, trading, squareoff, post-close)
- Session boundary tracking with configurable timezone - Squareoff time support for intraday strategies - Session high/low/open price tracking
Add SpreadBacktest for multi-leg options strategies: - Support for straddles, strangles, vertical spreads, iron condors - Coordinated entry/exit across all legs - Net premium P&L calculation with max loss/target profit exits - Helper functions for common spread configurations
Extend StreamingMetrics for backtest integration: - Add equity and drawdown tracking (update_equity, current_drawdown_pct) - Add trade recording (record_trade, record_fees) - Add finalize() method to produce BacktestMetrics - Add with_initial_capital() constructor
Bump version to 0.2.0.
* chore: bump up version to 0.2.0
* feat: update version to 0.2.1 and add rolling min/max indicators
* fix: formatting
* Fix release workflow: Python compatibility issues
- Linux: Add --find-interpreter for cross-compilation
- macOS/Windows: Pin Python to 3.12 (PyO3 0.20.3 max supported)
* Fix Linux release: limit Python versions to 3.10-3.12
PyO3 0.20.3 only supports up to Python 3.12. Using --find-interpreter detected Python 3.13/3.14 in the manylinux container which caused build failures.
* Fix CI workflow: use correct rust-toolchain action
* Fix CI: resolve Rust compilation and formatting issues
- Fix rust-toolchain action name in CI workflow
- Add missing Direction import in test modules
- Add missing entry_fees argument to open_position test calls
- Comment out nightly-only rustfmt options
- Auto-format code with cargo fmt
porcelaincode