Back to Quantitative trading

Module 02 · Systematic strategies

Event-driven backtesting and execution

Causal message queues, slippage and fee friction, multi-asset portfolio accounting, and bias-free backtesting.

4 lessons · 3 graded exercises·3.5 hours·intermediate·Prerequisite: Market microstructure and order books

The event loop

Vectorized backtests leak future state across array operations. An event-driven loop enforces causal message passing.

Slippage and transaction costs

25 min · exercise

Model spread crossing, linear broker commissions, and volume participation caps in order execution.

Portfolio accounting and PnL

25 min · exercise

Maintain multi-asset cash balances, track average entry prices for long and short positions, and compute mark-to-market valuations.

Building the event backtester

30 min · exercise

Combine event queues, strategies, execution handlers, and portfolio accounting into a zero-leakage simulation engine.