vatsal
4d0d4cbfa3
* 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
38 lines
965 B
TOML
38 lines
965 B
TOML
[package]
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name = "raptorbt"
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version = "0.2.1"
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edition = "2021"
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description = "High-performance Rust backtesting engine with Python bindings. Drop-in VectorBT replacement with up insanely faster performance at fractional memory footprint."
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authors = ["Alphabench <contact@alphabench.in>"]
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license = "MIT"
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repository = "https://github.com/alphabench/raptorbt"
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homepage = "https://github.com/alphabench/raptorbt"
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readme = "README.md"
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keywords = ["backtesting", "trading", "quantitative-finance", "rust", "python"]
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categories = ["finance", "simulation"]
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[lib]
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name = "raptorbt"
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crate-type = ["cdylib", "rlib"]
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[dependencies]
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pyo3 = { version = "0.20", features = ["extension-module"] }
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numpy = "0.20"
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rayon = "1.8"
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thiserror = "1.0"
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serde = { version = "1.0", features = ["derive"] }
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[dev-dependencies]
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criterion = "0.5"
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approx = "0.5"
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[[bench]]
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name = "backtest_benchmark"
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harness = false
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[profile.release]
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lto = true
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codegen-units = 1
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opt-level = 3
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strip = true
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