feat: Add deterministic replay backtesting engine and related documentation

2026-06-01 14:57:42 +02:00
parent cc11082ea7
commit 7c86e838fa
6 changed files with 540 additions and 0 deletions
@@ -359,6 +359,25 @@ Profile scenarios:
 - `execution_spike`
 - `reconnect_storm`

+## Backtesting
+
+Run a deterministic replay backtest from a JSONL event stream:
+
+```powershell
+python scripts/backtest_replay.py --events path\to\replay.jsonl --starting-balances USD=1000.0
+```
+
+Replay event format:
+
+```json
+{"timestamp":"2026-06-01T12:00:00Z","symbol":"BTC/USD","bids":[[100.0,1.0]],"asks":[[101.0,1.0]]}
+```
+
+Notes:
+
+- Events are replayed in timestamp order.
+- The replay engine reuses the production detector, pre-trade validation, trade limits, and execution sequencer.
+- The simulated execution path applies configurable slippage and execution latency so reports include deterministic trade/miss statistics.
 Latency baseline and threshold artifacts:

 - `ops/performance/latency_baseline.json`