Backtesting

The backtest subcommand replays a recorded Parquet file through a strategy and reports PnL.

Run a backtest

cargo run --bin mercury -- backtest \
  --file data.parquet \
  --strategy market_maker

How it works

1. Player reads the Parquet file and replays BookUpdate events in timestamp order.
2. StrategyRunner drives the strategy as if events were live.
3. SimulatedExchange matches orders against the replayed book with zero latency (conservative: assumes worst-case fill at the top of the book).
4. Results are printed to stdout and written to backtest_results.json.

Output

Symbol:   BTCUSDT
Strategy: market_maker
Trades:   1,243
Win rate: 54.2%
PnL:      +$312.47
Max DD:   -$48.20
Sharpe:   1.84

Tips

• Record a representative data set (at least a few hours) before running a backtest.
• Use --speed 0 to replay as fast as possible (no wall-clock sleep between ticks).
• Run multiple strategies on the same file to compare them fairly.