Spread Backtesting Engine
Block 1 — Book Construction
↓ Copy to Block 2
Idle
Symbols
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Date From
Date To
Construct Book
TOB Percentile of Trades
%
Tail Cap Percentile
%
Book
Percentile of Trades
Quantity (Recommended)
% of Volume
Run "Construct Book" to populate layers
Block 2 — Backtest Analysis
Export
Idle
Symbols
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Date From
Date To
Group
All Groups
Logins
Half-Spread Internal Markup
Execution Benefit
LP Comm/M ($)
Backtest Option
Trade History
Book
Broker From
Broker To
Broker Constr. HS
Broker HS
LP From
LP To
LP HS
Construct a book first to populate layers
Results
Volume: Notional / Lots
Run Backtest
Status
—
Spread Yield (Historical)
—
Spread Yield (Backtest)
—
Notional | Volume
—
|
—
Spread Yield/M (Historical)
—
Spread Yield/M (Backtest)
—
Hedging Cost (Backtest)
—
STP Revenue
—
Async Hedging (Backtest)
—
Hedging Cost/M (Backtest)
—
STP Revenue/M
—
Async Hedging/M (Backtest)
—