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The backtesting engine uses BacktestConfig to control all aspects of simulation realism, from network latency to fill probabilities.

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BacktestConfig Structure

The main configuration is defined in nano-backtest/src/config.rs:11-29: 
pub struct BacktestConfig {
    pub initial_capital: f64,
    pub latency: LatencyConfig,
    pub fees: FeeConfig,
    pub risk: RiskConfig,
    pub execution: ExecutionConfig,
    pub output: OutputConfig,
}

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Initial Capital

Starting capital in USD for the backtest. 
initial_capital: 1_000_000.0  // $1M default

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Latency Configuration

Realistic latency simulation is critical for HFT backtesting. The LatencyConfig struct (config.rs:104-132) models network and exchange delays: 
pub struct LatencyConfig {
    pub order_latency_ns: u64,           // Order submission latency
    pub market_data_latency_ns: u64,     // Market data reception latency
    pub ack_latency_ns: u64,             // Order acknowledgment latency
    pub jitter_ns: u64,                  // Latency jitter (std dev)
    pub use_random_jitter: bool,         // Enable random jitter
}

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Latency Components

ComponentDescriptionTypical Range
order_latency_nsTime from order submission to exchange receipt5,000 - 200,000 ns
market_data_latency_nsTime from exchange update to strategy receipt2,500 - 100,000 ns
ack_latency_nsTime from exchange ack to strategy receipt5,000 - 250,000 ns
jitter_nsStandard deviation of latency variance1,000 - 50,000 ns

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Jitter Models

The latency simulator supports multiple jitter models (latency.rs:26-52):
  • None: Deterministic latency (no variance)
  • Uniform: Random jitter in range [-max_jitter, +max_jitter]
  • Normal: Gaussian distribution with configurable std dev
  • LogNormal: Realistic network latency distribution
  • Empirical: Based on historical percentile data [p50, p75, p90, p95, p99]

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Preset Latency Profiles

Aurora (CME Primary Colo) - latency.rs:215-220: 
ColoLatencyModel::aurora()  // 5μs to exchange, 2μs processing
Aggressive HFT - config.rs:47-56: 
order_latency_ns = 50_000       # 50 microseconds
market_data_latency_ns = 10_000 # 10 microseconds
ack_latency_ns = 60_000         # 60 microseconds
jitter_ns = 5_000               # 5 microseconds jitter
use_random_jitter = true
Conservative - config.rs:76-82: 
order_latency_ns = 200_000      # 200 microseconds
market_data_latency_ns = 50_000 # 50 microseconds
ack_latency_ns = 250_000        # 250 microseconds
jitter_ns = 50_000              # 50 microseconds jitter
use_random_jitter = true

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Fee Configuration

The FeeConfig struct (config.rs:134-172) models exchange and clearing fees: 
pub struct FeeConfig {
    pub maker_fee: f64,      // Fee per contract for adding liquidity
    pub taker_fee: f64,      // Fee per contract for taking liquidity
    pub exchange_fee: f64,   // Exchange fee per contract
    pub clearing_fee: f64,   // Clearing house fee per contract
}

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CME Default Fees

FeeConfig::default()  // Uses CME futures fees:
// maker_fee: CME_MAKER_FEE
// taker_fee: CME_TAKER_FEE
// exchange_fee: CME_EXCHANGE_FEE
// clearing_fee: CME_CLEARING_FEE

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Fee Calculation

Total fee per trade: 
fee = (maker_or_taker_fee + exchange_fee + clearing_fee) * quantity
Example for a 10-contract maker trade: 
fees.calculate_fee(10, true)  // is_maker = true

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Risk Configuration

The RiskConfig struct (config.rs:174-207) defines position limits and risk controls: 
pub struct RiskConfig {
    pub max_position: i64,          // Maximum net position (contracts)
    pub max_order_size: u32,        // Maximum single order size
    pub max_drawdown_pct: f64,      // Kill switch drawdown threshold
    pub max_daily_loss: f64,        // Maximum daily loss in dollars
    pub max_open_orders: usize,     // Maximum concurrent open orders
    pub enable_kill_switch: bool,   // Enable automatic shutdown
}

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Default Risk Limits

max_position = 100          # DEFAULT_MAX_INVENTORY
max_order_size = 20         # contracts
max_drawdown_pct = 0.05     # 5% drawdown limit
max_daily_loss = 100_000.0  # $100k daily loss limit
max_open_orders = 20        # concurrent orders
enable_kill_switch = true   # auto-stop on breach

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Risk Presets

Aggressive HFT: 
max_position = 50
max_order_size = 10
max_drawdown_pct = 0.04  # 4%
max_daily_loss = 50_000.0
Conservative: 
max_position = 20
max_order_size = 5
max_drawdown_pct = 0.03  # 3%
max_daily_loss = 30_000.0

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Execution Configuration

The ExecutionConfig struct (config.rs:209-242) controls fill simulation realism: 
pub struct ExecutionConfig {
    pub track_queue_position: bool,       // Track position in order queue
    pub fill_probability_decay: f64,      // Fill prob decay with queue depth
    pub partial_fill_probability: f64,    // Probability of partial fills
    pub min_partial_fill: u32,            // Minimum partial fill size
    pub simulate_adverse_selection: bool, // Model adverse selection
    pub adverse_selection_prob: f64,      // Adverse selection probability
}

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Fill Simulation

Queue Position Tracking (execution.rs:63-68):
  • Tracks order position in the limit order book queue
  • Fill probability decays exponentially: decay^queue_position
  • Default decay: 0.9 (90% probability at front, 81% at position 2, etc.)
Partial Fills (execution.rs:185-198):
  • Simulates realistic partial execution
  • Default 20% probability of partial fill
  • Fill size randomly chosen between min_partial_fill and remaining quantity
Adverse Selection (execution.rs:171-177):
  • Models the tendency to get filled when market moves against you
  • Default 10% probability that fill doesn’t occur due to adverse selection
  • Critical for realistic maker strategy backtesting

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Default Execution Settings

track_queue_position = true
fill_probability_decay = 0.9
partial_fill_probability = 0.2
min_partial_fill = 1
simulate_adverse_selection = true
adverse_selection_prob = 0.1
Conservative Preset (config.rs:93-97): 
fill_probability_decay = 0.7  # More conservative fills
partial_fill_probability = 0.4 # More partial fills

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Output Configuration

The OutputConfig struct (config.rs:244-273) controls logging and data recording: 
pub struct OutputConfig {
    pub verbosity: u8,               // Log level (0-3)
    pub record_tick_pnl: bool,       // Record P&L at every tick
    pub record_fills: bool,          // Record all fill events
    pub record_orders: bool,         // Record all order events
    pub snapshot_interval: usize,    // Metrics snapshot frequency
}

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Default Output Settings

verbosity = 1              # Basic logging
record_tick_pnl = false    # Disabled for performance
record_fills = true        # Keep fill history
record_orders = true       # Keep order history
snapshot_interval = 10000  # Snapshot every 10k events
Enabling record_tick_pnl = true can significantly impact performance and memory usage for high-frequency strategies.

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Example Configuration

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TOML Format

Create a backtest_config.toml file: 
initial_capital = 1_000_000.0

[latency]
order_latency_ns = 100_000
market_data_latency_ns = 50_000
ack_latency_ns = 120_000
jitter_ns = 10_000
use_random_jitter = true

[fees]
maker_fee = 0.25
taker_fee = 0.85
exchange_fee = 0.10
clearing_fee = 0.02

[risk]
max_position = 50
max_order_size = 10
max_drawdown_pct = 0.05
max_daily_loss = 100_000.0
max_open_orders = 20
enable_kill_switch = true

[execution]
track_queue_position = true
fill_probability_decay = 0.9
partial_fill_probability = 0.2
min_partial_fill = 1
simulate_adverse_selection = true
adverse_selection_prob = 0.1

[output]
verbosity = 1
record_tick_pnl = false
record_fills = true
record_orders = true
snapshot_interval = 10000

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Rust API

use nano_backtest::BacktestConfig;

// Use default configuration
let config = BacktestConfig::default();

// Use preset
let config = BacktestConfig::aggressive_hft();
let config = BacktestConfig::conservative();

// Custom configuration
let config = BacktestConfig {
    initial_capital: 500_000.0,
    latency: LatencyConfig {
        order_latency_ns: 75_000,
        market_data_latency_ns: 25_000,
        ack_latency_ns: 100_000,
        jitter_ns: 15_000,
        use_random_jitter: true,
    },
    fees: FeeConfig::default(),
    risk: RiskConfig {
        max_position: 30,
        max_drawdown_pct: 0.03,
        ..Default::default()
    },
    execution: ExecutionConfig::default(),
    output: OutputConfig::default(),
};

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Configuration Presets

Two built-in presets are available:

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Aggressive HFT (config.rs:45-69)

Optimized for sub-millisecond strategies:
  • Ultra-low latency (50μs orders)
  • Tight risk limits (50 max position)
  • Realistic fill simulation
let config = BacktestConfig::aggressive_hft();

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Conservative (config.rs:71-100)

Optimized for strategy validation:
  • Higher latency (200μs orders)
  • Buffered fees (1.2x CME rates)
  • Conservative fill model (70% decay)
  • Tighter drawdown limit (3%)
let config = BacktestConfig::conservative();