@livefolio/sdk / BacktestExecutor

Class: BacktestExecutor

Defined in: reference/backtest-executor.ts:104

Reference Executor implementation for backtesting. Fills each order at the next-open price returned by the NextOpenFn callback, with optional slippage and per-share commissions applied.

When to use: suitable for historical simulations and unit tests where real broker connectivity is not needed. For live or paper trading, substitute a broker-backed Executor that satisfies the same interface.

Fill mechanics: for each order in orders, the executor calls opts.nextOpen(asset, t) to obtain the fill price and timestamp. The raw price is then adjusted for slippage:

adjustedPrice = nextOpen.price × (1 + sign × slippageBps / 10 000)

where sign is +1 for net-buy direction and −1 for net-sell direction. A flat per-share fee is added to Fill.fees. Orders with zero quantity are silently skipped.

Example

import { BacktestExecutor } from '@livefolio/sdk';
import { getCalendar } from '@livefolio/sdk';

const executor = new BacktestExecutor({
  calendar:    getCalendar('NYSE'),
  nextOpen:    async (asset, t) => {
    // Return the first open bar strictly after t from your data feed.
    const bar = await feed.nextBar(asset, t);
    return { t: bar.t, price: bar.open };
  },
  slippageBps: 5,    // 0.05% one-way
  perShareFee: 0.005,
});

Implements

• Executor

Constructors

Constructor

new BacktestExecutor(opts): BacktestExecutor

Defined in: reference/backtest-executor.ts:105

Parameters

Parameter	Type
opts	BacktestExecutorOptions

Returns

BacktestExecutor

Methods

submit()

submit(orders, t, portfolio): Promise<readonly Fill[]>

Defined in: reference/backtest-executor.ts:107

Submits a batch of orders for execution and returns the resulting fills.

Parameters

Parameter	Type	Description
orders	readonly Order[]	The orders to execute. Each order has a unique id; implementations use id to correlate fills via fill.orderRef.
t	Date	The logical "now" timestamp at which orders are being submitted (e.g. end-of-day for a daily-rebalance strategy).
portfolio	Portfolio	The current portfolio state at time t. Implementations may use this to resolve position details for close/adjust orders.

Returns

Promise<readonly Fill[]>

A readonly array of Fill records. One fill per executed order; omit orders that result in zero quantity.

Implementation of

Executor.submit