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The engine

src/engine/ contains two orchestrators. They wire the other layers together and own the per-bar loop — but contain no indicator math, no metric formulas, and no vendor specifics.

BacktestEngine​

run(symbols, start, end, initial_capital) -> BacktestResult:

  1. Fetch bars for all symbols via the MarketDataClient.
  2. For each symbol: process_data → generate_signals → _simulate_symbol.
  3. Aggregate trades, build the equity curve, compute metrics (analytics.performance), and return a BacktestResult.

_simulate_symbol​

A bar-by-bar replay holding one position at a time:

  • On an entry signal with no open position, size via Strategy.calculate_position_size and open (if affordable) with stop/take levels from the strategy config.
  • On each subsequent bar, check stop-loss, take-profit, then a signal-based exit, in that order. Stop/take fill at their level; a signal exit fills at the next open.
  • Any position still open at the final bar is force-closed (END_OF_PERIOD).

Realised cash (_available) carries across symbols so the run can't spend the same dollar twice. P&L is (exit − entry) × size × direction.

BacktestResult carries metrics, the trades DataFrame, the equity_curve, capital, dates, and the strategy config.

LiveEngine​

start(symbols):

  1. _warm_up — fetch a lookback window, run process_data, and seed each symbol's rolling buffer via Strategy.warm_up, so indicators are valid on the very first live bar.
  2. Subscribe to the live stream through the MarketDataClient.
  3. _on_bar — feed each full streamed bar to process_bar; forward any actionable signal to the LiveTrader.
  4. If the broker supports it, run the trade-update stream concurrently (asyncio.gather) so fills/cancels/rejects are logged alongside trading.

Both live streams (market data and trade updates) auto-reconnect with capped backoff via a shared run_with_reconnect helper, and shut down cleanly on cancellation.

The engine never calls the broker directly — it delegates to execution. That boundary is exactly why the same strategy object backtests and trades live unchanged.