backtest: implement event-driven ReplayEngine#11
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marwinsteiner merged 3 commits intomainfrom Feb 22, 2026
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Create src/sysls/backtest/ and tests/backtest/ packages with __init__.py files for the Phase 4 backtesting engine.
Implements the event-driven historical replay engine that creates a sandboxed environment (SimulatedClock, EventBus, OMS, PaperVenue) and feeds historical data through the full live stack: - ReplayEngine class: constructor with initial_capital and commission_rate - _ns_to_datetime helper: nanosecond epoch to UTC datetime conversion - _build_event_stream: converts instrument DataFrames to sorted events using bars_to_events/trades_to_events from data.normalize - _compute_equity: mark-to-market portfolio valuation with realized and unrealized PnL tracking - async run(): full lifecycle orchestration - Wires strategy to bus (MarketDataEvent, FillEvent, PositionEvent) - Routes strategy OrderSubmitted events through OMS for execution - Advances SimulatedClock with each data point - Drains event queue between bars for deterministic simulation - Collects equity curve, trade log, final positions - Returns dict with numpy arrays compatible with metrics.py
37 tests covering: - Constructor: default and custom initial_capital, commission_rate - Validation: empty data, invalid data_type - Do-nothing strategy: result dict keys, equity curve shape, unchanged equity, no trades/positions, numpy array types - Buy-once strategy: single trade, trade details, position state, unrealized PnL in equity - Buy-and-sell strategy: round-trip trades, positive/negative realized PnL, flat position after close - Strategy lifecycle: on_start/on_stop, market data count - Strategy params: forwarded correctly, default empty dict - Multi-instrument: interleaved data, multiple positions - Commission: zero and nonzero rates - Equity curve: starts at initial capital, tracks unrealized PnL - Helpers: _ns_to_datetime, _build_event_stream sorting Test strategies: DoNothing, BuyOnce, BuyAndSell, LifecycleTracking, ParamStrategy, MultiInstrumentStrategy.
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Summary
Implements the event-driven historical replay engine (
src/sysls/backtest/replay.py) for Phase 4 backtesting:on_market_datalifecycle, identical to live executionmetrics.py(Junior-1's module)Key integrations
sysls.core.bus.EventBus— event dispatchsysls.core.clock.SimulatedClock— time advancementsysls.core.events.BarEvent/TradeEvent— data eventssysls.execution.oms.OrderManagementSystem— order processingsysls.execution.paper.PaperVenue— simulated fillssysls.strategy.base.Strategy,StrategyContext— strategy lifecycleFiles
src/sysls/backtest/__init__.py— package initsrc/sysls/backtest/replay.py— ReplayEngine (340 lines)tests/backtest/__init__.py— test package inittests/backtest/test_replay.py— 37 tests (733 lines)Test coverage
37 tests covering: validation, do-nothing strategy, buy-once, buy-and-sell round-trips, strategy lifecycle, params, multi-instrument, commissions, equity curve accuracy, helper functions. 6 test strategy implementations.
Full suite: 551 passed, 10 skipped (existing Windows arcticdb skips). Ruff clean.
Test plan