Massively change the API for setting up backtesting. Now, there is an object MarketData which is able to read all candles
for a given asset class from the candle database. BacktestingRuntime now accepts the name for the traded asset, the name
for the market data asset, and the intraday frequency.
The internal API for BacktestingRuntime has been simplified by storing the actual candle DataFrame objects used by the
runtime as fields of the BacktestingRuntime struct. The function BacktestingRuntime::load_candles is a builder function
which loads all candle data into the runtime and calls self.strategy.load_historical_candles() to process the data. This
change allows the user to have more control over the backtesting process and allows the internal functions to be independent
of the BacktestingRuntime::run function.
Code Changes
Simplify BacktestingRuntime::run
Rename BacktestingRunner to BacktestingRuntime
Add documentation to BacktestingRuntime
Simplify API for internal BacktestingRuntime functions and add more flexibility.
Create a function trim_candles to remove candles outside the backtesting date range
v0.4.0
Massively change the API for setting up backtesting. Now, there is an object
MarketDatawhich is able to read all candles for a given asset class from the candle database.BacktestingRuntimenow accepts the name for the traded asset, the name for the market data asset, and the intraday frequency.The internal API for
BacktestingRuntimehas been simplified by storing the actual candleDataFrameobjects used by the runtime as fields of theBacktestingRuntimestruct. The functionBacktestingRuntime::load_candlesis a builder function which loads all candle data into the runtime and callsself.strategy.load_historical_candles()to process the data. This change allows the user to have more control over the backtesting process and allows the internal functions to be independent of theBacktestingRuntime::runfunction.Code Changes
BacktestingRuntime::runBacktestingRunnertoBacktestingRuntimeBacktestingRuntimeBacktestingRuntimefunctions and add more flexibility.trim_candlesto remove candles outside the backtesting date rangeNew Structures
MarketDataIssues