Choosing a backtest engine

Screamer's backtest engines are arranged in a Backtest<DataModel><OrderDef> grid. The data model (rows) is the market feed you have. The order definition (columns) is the strategy's output contract. All eight engines share one accounting core, the [equity, pnl, position, cost] output schema, a common MARKET/NaN/inf encoding, and the static fill-cap rule.

The grid

Data model	Target	Orders
Price	BacktestPriceTarget	not provided (*)
OHLC	BacktestOHLCTarget	BacktestOHLCOrders
Trades	BacktestTradesTarget	BacktestTradesOrders
L1	BacktestL1Target	BacktestL1Orders
L1 + Trades	not provided (**)	BacktestL1TradesOrders

(*) BacktestPriceOrders is not provided. A raw value series carries no bid/ask book, so there is no credible fill model for a two-sided quote. Use BacktestOHLCOrders or BacktestL1Orders when a richer feed is available.

(**) BacktestL1TradesTarget is not provided. A Target engine is a pure taker: it hits the book immediately on each event. For L1 + trades data, BacktestL1Target already does this with only the quote stream, and adding the trade feed does not improve it (trades are taker events, not maker fills). Use BacktestL1Target when you have an L1 + trades feed and want a Target engine.

Order definition interfaces

Target engines receive (target_position, <market cols>). On each event the engine computes delta = clamp(target, cap) - position and submits a marketable order for that delta, taking liquidity at the current market price. The target is the desired inventory level, not an order size. The engine handles the sizing and direction internally.

Orders engines receive (bid_price, bid_size, ask_price, ask_size, <market cols>). The strategy posts a two-sided resting quote each event. Either or both sides can fill on the same event. Setting a side's size to zero or its price to NaN disables that side. A quote submitted already crossing the spread (bid_price >= market_ask or ask_price <= market_bid) is treated as a taker and fills immediately.

Input arities by engine:

Engine	Inputs	Order columns	Market columns
BacktestPriceTarget	2	target	price
BacktestOHLCTarget	5	target	open, high, low, close
BacktestOHLCOrders	8	bid_price, bid_size, ask_price, ask_size	open, high, low, close
BacktestTradesTarget	3	target	trade_price, trade_size
BacktestTradesOrders	6	bid_price, bid_size, ask_price, ask_size	trade_price, trade_size
BacktestL1Target	5	target	market_bid, market_ask, market_bid_size, market_ask_size
BacktestL1Orders	8	bid_price, bid_size, ask_price, ask_size	market_bid, market_ask, market_bid_size, market_ask_size
BacktestL1TradesOrders	10	bid_price, bid_size, ask_price, ask_size	market_bid, market_ask, market_bid_size, market_ask_size, trade_price, trade_size

For BacktestL1Orders and BacktestL1TradesOrders the own-quote columns come first, then the market book columns.

MARKET/NaN/inf encoding

Every engine uses the same price encoding to distinguish a resting limit order from a marketable order.

Price value	Meaning
Finite number	Resting limit order at that price (maker fill, maker_fee)
+inf / screamer.MARKET	Market buy (taker); never-fill sell
-inf	Never-fill buy; market sell (taker)
NaN	Side-agnostic market order (taker, regardless of direction)

screamer.MARKET equals +math.inf and is provided as a readable constant for submitting a market buy without writing float('inf') directly.

For BacktestOHLCTarget, the target decided on bar t always executes as a market order at bar t+1's open (causal deferral; no manual lag is needed). For BacktestOHLCOrders, a NaN bid or ask price is a market order that fills at the bar's open; a finite price rests and waits for the bar's range.

Fill-cap rule

Every engine accepts min_position and max_position constructor parameters (default unbounded). All fills are capped by a three-way minimum: the order size, the participation limit (where applicable), and the remaining room to the bound. For a buy, the fill cannot exceed max_position - current_position; for a sell it cannot exceed current_position - min_position. A fill that would breach the bound is truncated to exactly the remaining room. Passing min_position=-8.0, max_position=8.0 enforces a hard inventory limit of eight units on each side, independent of order size.