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Event-driven backtesting and execution· 1 of 4
  1. 01The event loop
  2. 02Slippage and transaction costs
  3. 03Portfolio accounting and PnL
  4. 04Building the event backtester

Event-driven backtesting and execution

The event loop

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

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This one opens once you have finished Market microstructure and order books.

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