Package: `regimeflow::engine`¶

Summary¶

Backtest and live engine core. Orchestrates event generation, event loop processing, execution pipelines, order management, portfolio state, and regime tracking. This package is the central runtime for both historical and live trading modes.

Related diagrams: - Execution Flow - Backtest Sequence - Live Sequence

File Index¶

File	Purpose
`regimeflow/engine/audit_log.h`	Audit log interface for backtest and live runs.
`regimeflow/engine/backtest_engine.h`	Backtest engine coordinator.
`regimeflow/engine/backtest_results.h`	Backtest result container and summaries.
`regimeflow/engine/backtest_runner.h`	High-level runner for repeated backtests.
`regimeflow/engine/dashboard_snapshot.h`	Shared dashboard snapshot types and rendering helpers.
`regimeflow/engine/engine_factory.h`	Engine factory and dependency wiring.
`regimeflow/engine/event_generator.h`	Generates events from data sources.
`regimeflow/engine/event_loop.h`	Main event loop and dispatch.
`regimeflow/engine/execution_pipeline.h`	Execution pipeline orchestration.
`regimeflow/engine/market_data_cache.h`	Cache for recent market data.
`regimeflow/engine/order.h`	Order model and helpers.
`regimeflow/engine/order_book_cache.h`	In-memory order book cache.
`regimeflow/engine/order_manager.h`	Order lifecycle management.
`regimeflow/engine/order_routing.h`	Smart routing config, routing plans, and router interfaces.
`regimeflow/engine/parity_checker.h`	Backtest/live configuration parity checks.
`regimeflow/engine/parity_report.h`	Structured parity-check results and status enums.
`regimeflow/engine/portfolio.h`	Portfolio state and accounting.
`regimeflow/engine/regime_tracker.h`	Regime state tracking and transitions.
`regimeflow/engine/timer_service.h`	Scheduled callbacks and timers.

Type Index¶

Type	Description
`BacktestEngine`	Orchestrates backtest data ingestion and strategy execution.
`BacktestRunner`	Repeats backtests for parameter sweeps.
`DashboardSnapshot`	Shared snapshot contract for terminal and browser dashboards.
`EventLoop`	Single-threaded event processing pipeline.
`ExecutionPipeline`	Bridges strategies to execution models.
`OrderManager`	Validates, routes, and tracks orders.
`RoutingConfig` / `OrderRouter` / `SmartOrderRouter`	Smart order routing configuration and planning.
`ParityChecker` / `ParityReport`	Compare backtest and live config parity before deployment.
`Portfolio`	PnL, positions, and cash accounting.
`RegimeTracker`	Tracks regime signals and transition stats.
`TimerService`	Timers for heartbeat, sampling, and periodic tasks.

Lifecycle & Usage Notes¶

EngineFactory should be the only constructor of BacktestEngine or LiveEngine to ensure consistent wiring.
EventGenerator drives the EventLoop with market data events.
The ExecutionPipeline is the hand-off between strategy decisions and execution models.
DashboardSnapshot is the shared payload contract for the strategy tester and dashboard exporters.
ParityChecker is the pre-deployment guard for backtest/live configuration drift.
AuditLog is used for both live and backtest runs to guarantee traceability.

Type Details¶

`BacktestEngine`¶

Coordinates historical data playback, strategy execution, and metric collection for backtests.

Key APIs: - run() to execute a full backtest - accessors for Portfolio, MetricsTracker, and AuditLog

Methods:

Method	Description
`BacktestEngine(initial_capital, currency)`	Construct the engine with starting capital and base currency.
`event_queue()`	Access the internal event queue.
`dispatcher()`	Access the event dispatcher.
`event_loop()`	Access the event loop.
`order_manager()`	Access the order manager.
`portfolio()`	Access the portfolio.
`market_data()`	Access the market data cache.
`enqueue(event)`	Enqueue a raw event.
`load_data(iterator)`	Load a single data iterator.
`load_data(bar, tick, book)`	Load bar, tick, and order book iterators.
`set_strategy(strategy, config)`	Set primary strategy with config.
`add_strategy(strategy)`	Add an additional strategy.
`set_execution_model(model)`	Set execution model.
`set_commission_model(model)`	Set commission model.
`set_transaction_cost_model(model)`	Set transaction cost model.
`set_market_impact_model(model)`	Set market impact model.
`set_latency_model(model)`	Set latency model.
`set_regime_detector(detector)`	Set regime detector implementation.
`risk_manager()`	Access risk manager.
`metrics()`	Access metrics tracker.
`current_regime()`	Access current regime state.
`current_time()`	Access current simulated time.
`hooks()`	Access hook system.
`hook_manager()`	Access hook manager.
`configure_execution(config)`	Configure execution models from config.
`configure_risk(config)`	Configure risk controls from config.
`configure_regime(config)`	Configure regime detection from config.
`set_parallel_context(context)`	Configure parallel run context.
`run_parallel(param_sets, factory, num_threads)`	Run parameter sweeps in parallel.
`register_hook(type, hook, priority)`	Register hook callback with priority.
`on_progress(callback)`	Register progress callback.
`set_audit_log_path(path)`	Enable audit logging to file.
`results()`	Return results after run completion.
`step()`	Advance event loop by one event.
`run_until(end_time)`	Run until a stop time.
`run()`	Run until exhaustion.
`stop()`	Stop the engine.

Method Details:

Type Hints:

event → events::Event
iterator → std::unique_ptr<data::DataIterator>
bar_iterator → std::unique_ptr<data::DataIterator>
tick_iterator → std::unique_ptr<data::TickIterator>
book_iterator → std::unique_ptr<data::OrderBookIterator>
strategy → std::unique_ptr<strategy::Strategy>
model → std::unique_ptr<execution::ExecutionModel> (or related model type)
detector → std::unique_ptr<regime::RegimeDetector>
config → Config
context → ParallelContext
end_time → Timestamp

`BacktestEngine(initial_capital, currency)`¶

Parameters: initial_capital starting cash; currency base currency code. Returns: Instance. Throws: None.

`event_queue()`¶

Parameters: None. Returns: Reference to internal event queue. Throws: None.

`dispatcher()`¶

Parameters: None. Returns: Reference to event dispatcher. Throws: None.

`event_loop()`¶

Parameters: None. Returns: Reference to event loop. Throws: None.

`order_manager()`¶

Parameters: None. Returns: Reference to order manager. Throws: None.

`portfolio()`¶

Parameters: None. Returns: Reference to portfolio. Throws: None.

`market_data()`¶

Parameters: None. Returns: Reference to market data cache. Throws: None.

`enqueue(event)`¶

Parameters: event raw event to enqueue. Returns: void. Throws: None.

`load_data(iterator)`¶

Parameters: iterator bar or tick iterator. Returns: void. Throws: None.

`load_data(bar_iterator, tick_iterator, book_iterator)`¶

Parameters: bar_iterator bar iterator; tick_iterator tick iterator; book_iterator order book iterator. Returns: void. Throws: None.

`set_strategy(strategy, config)`¶

Parameters: strategy primary strategy instance; config strategy config. Returns: void. Throws: None.

`add_strategy(strategy)`¶

Parameters: strategy additional strategy instance. Returns: void. Throws: None.

`set_execution_model(model)`¶

Parameters: model execution model. Returns: void. Throws: None.

`set_commission_model(model)`¶

Parameters: model commission model. Returns: void. Throws: None.

`set_transaction_cost_model(model)`¶

Parameters: model transaction cost model. Returns: void. Throws: None.

`set_market_impact_model(model)`¶

Parameters: model market impact model. Returns: void. Throws: None.

`set_latency_model(model)`¶

Parameters: model latency model. Returns: void. Throws: None.

`set_regime_detector(detector)`¶

Parameters: detector regime detector implementation. Returns: void. Throws: None.

`risk_manager()`¶

Parameters: None. Returns: Reference to risk manager. Throws: None.

`metrics()`¶

Parameters: None. Returns: Reference to metrics tracker. Throws: None.

`current_regime()`¶

Parameters: None. Returns: Current regime state. Throws: None.

`current_time()`¶

Parameters: None. Returns: Current simulated time. Throws: None.

`hooks()`¶

Parameters: None. Returns: Reference to hook system. Throws: None.

`hook_manager()`¶

Parameters: None. Returns: Reference to hook manager. Throws: None.

`configure_execution(config)`¶

Parameters: config execution configuration. Returns: void. Throws: Error::ConfigError on invalid config.

`configure_risk(config)`¶

Parameters: config risk configuration. Returns: void. Throws: Error::ConfigError on invalid config.

`configure_regime(config)`¶

Parameters: config regime configuration. Returns: void. Throws: Error::ConfigError on invalid config.

`set_parallel_context(context)`¶

Parameters: context parallel run context. Returns: void. Throws: None.

`run_parallel(param_sets, factory, num_threads)`¶

Parameters: param_sets parameter maps; factory strategy factory; num_threads worker count. Returns: Vector of BacktestResults. Throws: None.

`register_hook(type, hook, priority)`¶

Parameters: type hook type; hook callback; priority ordering priority. Returns: void. Throws: None.

`on_progress(callback)`¶

Parameters: callback progress callback. Returns: void. Throws: None.

`set_audit_log_path(path)`¶

Parameters: path output file path. Returns: void. Throws: Error::IoError on open failure (deferred).

`results()`¶

Parameters: None. Returns: Snapshot BacktestResults. Throws: None.

`step()`¶

Parameters: None. Returns: bool indicating more events remain. Throws: None.

`run_until(end_time)`¶

Parameters: end_time stop timestamp. Returns: void. Throws: None.

`run()`¶

Parameters: None. Returns: void. Throws: None.

`stop()`¶

Parameters: None. Returns: void. Throws: None.

`DashboardSnapshot` / `DashboardSetup` / `DashboardVenueSummary`¶

Shared dashboard payloads used by terminal and browser-facing strategy tester views.

Key helpers:

Helper	Description
`summarize_dashboard_venues(fills)`	Aggregate venue rows from fills.
`make_dashboard_snapshot(results)`	Build a shared snapshot from backtest results.
`dashboard_snapshot_to_json(snapshot)`	Serialize snapshot for UI consumers.
`render_dashboard_terminal(snapshot, options)`	Render a terminal-style dashboard.

`RoutingConfig` / `RoutingContext` / `RoutingPlan`¶

Smart-routing configuration and plan payloads used by the execution pipeline.

Key fields:

Field	Description
`RoutingConfig::mode`	Routing mode (`none` or `smart`).
`RoutingConfig::split_mode`	Child-order split behavior.
`RoutingConfig::parent_aggregation`	Parent-fill aggregation behavior.
`RoutingConfig::venues`	Venue weights and venue-level overrides.
`RoutingContext::bid/ask/last`	Market snapshot used for routing decisions.
`RoutingPlan::children`	Child orders produced by routing or splitting.

`OrderRouter` / `SmartOrderRouter`¶

Router interfaces that transform an input order plus market context into a routing plan.

Methods:

Method	Description
`route(order, ctx)`	Return the routed parent order and optional child orders.

`ParityChecker` / `ParityReport`¶

Utilities for validating whether a live config remains operationally aligned with a backtest config.

Key APIs:

API	Description
`ParityChecker::check(backtest, live)`	Compare in-memory configs.
`ParityChecker::check_files(backtest_path, live_path)`	Compare YAML files directly.
`ParityReport::status_name()`	Return `pass`, `warn`, or `fail`.
`ParityReport::ok()`	True only when parity status is `Pass`.

`BacktestRunner`¶

Executes multiple backtests (parameter sweeps, walk-forward trials) and aggregates results.

Methods:

Method	Description
`BacktestRunner(engine, data_source)`	Construct a runner bound to engine and data source.
`run(strategy, range, symbols, bar_type)`	Execute a single backtest.
`run_parallel(runs, num_threads)`	Execute multiple runs in parallel.

Method Details:

`BacktestRunner(engine, data_source)`¶

Parameters: engine backtest engine; data_source data source. Returns: Instance. Throws: None.

`run(strategy, range, symbols, bar_type)`¶

Parameters: strategy strategy instance; range time range; symbols to trade; bar_type aggregation. Returns: BacktestResults. Throws: None.

`run_parallel(runs, num_threads)`¶

Parameters: runs run specs; num_threads worker count. Returns: Vector of BacktestResults. Throws: None.

`EventLoop`¶

Single-threaded event processing core. Dispatches market, order, and system events.

Methods:

Method	Description
`EventLoop(queue)`	Construct with an event queue.
`set_dispatcher(dispatcher)`	Set the event dispatcher.
`add_pre_hook(hook)`	Register pre-dispatch hook.
`add_post_hook(hook)`	Register post-dispatch hook.
`set_progress_callback(callback)`	Register progress callback.
`run()`	Run until queue exhaustion or stop.
`run_until(end_time)`	Run until a target time.
`step()`	Process a single event.
`stop()`	Request loop stop.
`current_time()`	Get time of last processed event.

Method Details:

`EventLoop(queue)`¶

Parameters: queue event queue. Returns: Instance. Throws: None.

`set_dispatcher(dispatcher)`¶

Parameters: dispatcher event dispatcher. Returns: void. Throws: None.

`add_pre_hook(hook)`¶

Parameters: hook callback. Returns: void. Throws: None.

`add_post_hook(hook)`¶

Parameters: hook callback. Returns: void. Throws: None.

`set_progress_callback(callback)`¶

Parameters: callback progress callback. Returns: void. Throws: None.

`run()`¶

Parameters: None. Returns: void. Throws: None.

`run_until(end_time)`¶

Parameters: end_time stop time. Returns: void. Throws: None.

`step()`¶

Parameters: None. Returns: bool indicating whether an event was processed. Throws: None.

`stop()`¶

Parameters: None. Returns: void. Throws: None.

`current_time()`¶

Parameters: None. Returns: Timestamp of last processed event. Throws: None.

`EventGenerator`¶

Turns data iterators into engine events.

Methods:

Method	Description
`EventGenerator(iterator, queue[, config])`	Construct from a single data iterator.
`EventGenerator(bar, tick, book, queue[, config])`	Construct from multiple iterators.
`enqueue_all()`	Enqueue all events from iterators.

Method Details:

`EventGenerator(iterator, queue[, config])`¶

Parameters: iterator data iterator; queue destination queue; config generator config (optional). Returns: Instance. Throws: None.

`EventGenerator(bar, tick, book, queue[, config])`¶

Parameters: bar bar iterator; tick tick iterator; book order book iterator; queue destination queue; config optional config. Returns: Instance. Throws: None.

`enqueue_all()`¶

Parameters: None. Returns: void. Throws: None.

`ExecutionPipeline`¶

Routes orders through the execution model, applying latency, slippage, and commissions.

Methods:

Method	Description
`ExecutionPipeline(market_data, order_books, event_queue)`	Construct pipeline.
`set_execution_model(model)`	Set execution model.
`set_commission_model(model)`	Set commission model.
`set_transaction_cost_model(model)`	Set transaction cost model.
`set_market_impact_model(model)`	Set market impact model.
`set_latency_model(model)`	Set latency model.
`on_order_submitted(order)`	Handle order submission and emit fills.

Method Details:

`ExecutionPipeline(market_data, order_books, event_queue)`¶

Parameters: market_data cache; order_books cache; event_queue event queue. Returns: Instance. Throws: None.

`set_execution_model(model)`¶

Parameters: model execution model. Returns: void. Throws: None.

`set_commission_model(model)`¶

Parameters: model commission model. Returns: void. Throws: None.

`set_transaction_cost_model(model)`¶

Parameters: model transaction cost model. Returns: void. Throws: None.

`set_market_impact_model(model)`¶

Parameters: model market impact model. Returns: void. Throws: None.

`set_latency_model(model)`¶

Parameters: model latency model. Returns: void. Throws: None.

`on_order_submitted(order)`¶

Parameters: order submitted order. Returns: void. Throws: None.

`OrderManager`¶

Validates, submits, and tracks orders and their lifecycle transitions.

Methods:

Method	Description
`submit_order(order)`	Submit a new order.
`cancel_order(id)`	Cancel an order by ID.
`modify_order(id, mod)`	Modify an existing order.
`get_order(id)`	Fetch an order by ID.
`get_open_orders()`	Fetch all open orders.
`get_open_orders(symbol)`	Fetch open orders for a symbol.
`get_orders_by_strategy(strategy_id)`	Fetch orders by strategy.
`get_fills(order_id)`	Fetch fills for an order.
`get_fills(symbol, range)`	Fetch fills for a symbol in a range.
`on_order_update(callback)`	Register order update callback.
`on_fill(callback)`	Register fill callback.
`on_pre_submit(callback)`	Register pre-submit validation callback.
`process_fill(fill)`	Apply a fill to an order.
`update_order_status(id, status)`	Update order status.

Method Details:

`submit_order(order)`¶

Parameters: order order to submit. Returns: Result<OrderId>. Throws: Error::InvalidArgument on invalid order, plus any error returned by pre-submit hooks.

`cancel_order(id)`¶

Parameters: id order ID. Returns: Result<void>. Throws: Error::NotFound if ID unknown, Error::InvalidState if the order is not open.

`modify_order(id, mod)`¶

Parameters: id order ID; mod modification fields. Returns: Result<void>. Throws: Error::NotFound if ID unknown, Error::InvalidState if the order is not open, Error::InvalidArgument if the modified order is invalid.

`get_order(id)`¶

Parameters: id order ID. Returns: Optional Order. Throws: None.

`get_open_orders()`¶

Parameters: None. Returns: Vector of open orders. Throws: None.

`get_open_orders(symbol)`¶

Parameters: symbol symbol ID. Returns: Vector of open orders. Throws: None.

`get_orders_by_strategy(strategy_id)`¶

Parameters: strategy_id strategy identifier. Returns: Vector of orders. Throws: None.

`get_fills(order_id)`¶

Parameters: order_id order ID. Returns: Vector of fills. Throws: None.

`get_fills(symbol, range)`¶

Parameters: symbol symbol ID; range time range. Returns: Vector of fills. Throws: None.

`on_order_update(callback)`¶

Parameters: callback order update callback. Returns: void. Throws: None.

`on_fill(callback)`¶

Parameters: callback fill callback. Returns: void. Throws: None.

`on_pre_submit(callback)`¶

Parameters: callback pre-submit validator. Returns: void. Throws: None.

`process_fill(fill)`¶

Parameters: fill fill record. Returns: void. Throws: None.

`update_order_status(id, status)`¶

Parameters: id order ID; status new status. Returns: Result<void>. Throws: Error::NotFound if ID unknown.

`Portfolio`¶

Tracks positions, cash, PnL, and exposure. Used by strategies and risk checks.

Methods:

Method	Description
`Portfolio(initial_capital, currency)`	Construct a portfolio.
`update_position(fill)`	Apply a fill to positions.
`mark_to_market(symbol, price, timestamp)`	Mark a symbol to market.
`mark_to_market(prices, timestamp)`	Mark multiple symbols.
`set_cash(cash, timestamp)`	Set cash balance.
`set_position(symbol, quantity, avg_cost, price, timestamp)`	Set a position explicitly.
`replace_positions(positions, timestamp)`	Replace all positions.
`get_position(symbol)`	Fetch a position for a symbol.
`get_all_positions()`	Fetch all positions.
`get_held_symbols()`	Get symbols currently held.
`cash()`	Current cash balance.
`initial_capital()`	Initial capital.
`currency()`	Base currency code.
`equity()`	Total equity.
`gross_exposure()`	Gross exposure.
`net_exposure()`	Net exposure.
`leverage()`	Portfolio leverage.
`total_unrealized_pnl()`	Total unrealized PnL.
`total_realized_pnl()`	Total realized PnL.
`snapshot()`	Snapshot current state.
`equity_curve()`	Get equity curve history.
`record_snapshot(timestamp)`	Record a snapshot.
`get_fills()`	Get all fills.
`get_fills(symbol)`	Get fills for a symbol.
`get_fills(range)`	Get fills in a time range.
`on_position_change(callback)`	Register position update callback.
`on_equity_change(callback)`	Register equity change callback.

Method Details:

`Portfolio(initial_capital, currency)`¶

Parameters: initial_capital starting cash; currency base currency. Returns: Instance. Throws: None.

`update_position(fill)`¶

Parameters: fill execution fill. Returns: void. Throws: None.

`mark_to_market(symbol, price, timestamp)`¶

Parameters: symbol symbol ID; price latest price; timestamp valuation time. Returns: void. Throws: None.

`mark_to_market(prices, timestamp)`¶

Parameters: prices symbol-price map; timestamp valuation time. Returns: void. Throws: None.

`set_cash(cash, timestamp)`¶

Parameters: cash new balance; timestamp update time. Returns: void. Throws: None.

`set_position(symbol, quantity, avg_cost, price, timestamp)`¶

Parameters: symbol symbol ID; quantity position; avg_cost cost basis; price price; timestamp update time. Returns: void. Throws: None.

`replace_positions(positions, timestamp)`¶

Parameters: positions position map; timestamp update time. Returns: void. Throws: None.

`get_position(symbol)`¶

Parameters: symbol symbol ID. Returns: Optional Position. Throws: None.

`get_all_positions()`¶

Parameters: None. Returns: Vector of positions. Throws: None.

`get_held_symbols()`¶

Parameters: None. Returns: Vector of symbol IDs. Throws: None.

`cash()` / `initial_capital()` / `currency()`¶

Parameters: None. Returns: Cash, initial capital, or currency. Throws: None.

`equity()` / `gross_exposure()` / `net_exposure()` / `leverage()`¶

Parameters: None. Returns: Equity/exposure/leverage values. Throws: None.

`total_unrealized_pnl()` / `total_realized_pnl()`¶

Parameters: None. Returns: PnL values. Throws: None.

`snapshot()`¶

Parameters: None. Returns: PortfolioSnapshot. Throws: None.

`equity_curve()`¶

Parameters: None. Returns: Vector of snapshots. Throws: None.

`record_snapshot(timestamp)`¶

Parameters: timestamp snapshot time. Returns: void. Throws: None.

`get_fills()` / `get_fills(symbol)` / `get_fills(range)`¶

Parameters: Optional symbol or range. Returns: Vector of fills. Throws: None.

`on_position_change(callback)` / `on_equity_change(callback)`¶

Parameters: callback. Returns: void. Throws: None.

`MarketDataCache`¶

In-memory cache of latest market data and short history.

Methods:

Method	Description
`update(bar)`	Update cache with a bar.
`update(tick)`	Update cache with a tick.
`update(quote)`	Update cache with a quote.
`latest_bar(symbol)`	Get latest bar for symbol.
`latest_tick(symbol)`	Get latest tick for symbol.
`latest_quote(symbol)`	Get latest quote for symbol.
`recent_bars(symbol, count)`	Get recent bars for symbol.

Method Details:

`update(bar/tick/quote)`¶

Parameters: data object. Returns: void. Throws: None.

`latest_bar(symbol)` / `latest_tick(symbol)` / `latest_quote(symbol)`¶

Parameters: symbol symbol ID. Returns: Optional data. Throws: None.

`recent_bars(symbol, count)`¶

Parameters: symbol symbol ID; count number of bars. Returns: Vector of bars. Throws: None.

`OrderBookCache`¶

In-memory cache of latest order book snapshots.

Methods:

Method	Description
`update(book)`	Update cache with a snapshot.
`latest(symbol)`	Get latest order book for symbol.

Method Details:

`update(book)`¶

Parameters: book order book snapshot. Returns: void. Throws: None.

`latest(symbol)`¶

Parameters: symbol symbol ID. Returns: Optional OrderBook. Throws: None.

`RegimeTracker`¶

Maintains current regime state and transition statistics used by regime-aware strategies.

Methods:

Method	Description
`RegimeTracker(detector)`	Construct with a detector.
`on_bar(bar)`	Process bar and emit transition.
`on_tick(tick)`	Process tick and emit transition.
`current_state()`	Access current regime state.
`history()`	Access regime history.
`set_history_size(size)`	Set history size limit.
`register_transition_callback(callback)`	Register transition callback.

Method Details:

`RegimeTracker(detector)`¶

Parameters: detector regime detector. Returns: Instance. Throws: None.

`on_bar(bar)` / `on_tick(tick)`¶

Parameters: bar or tick. Returns: Optional RegimeTransition. Throws: None.

`current_state()` / `history()`¶

Parameters: None. Returns: Current state or history deque. Throws: None.

`set_history_size(size)`¶

Parameters: size max history size. Returns: void. Throws: None.

`register_transition_callback(callback)`¶

Parameters: callback. Returns: void. Throws: None.

`TimerService`¶

Scheduling utility for periodic tasks such as heartbeat, metrics snapshots, and alerts.

Methods:

Method	Description
`TimerService(queue)`	Construct with an event queue.
`schedule(id, interval, start)`	Schedule recurring timer.
`cancel(id)`	Cancel a timer.
`on_time_advance(now)`	Advance timer state.

Method Details:

`TimerService(queue)`¶

Parameters: queue event queue. Returns: Instance. Throws: None.

`schedule(id, interval, start)`¶

Parameters: id timer ID; interval duration; start first fire time. Returns: void. Throws: None.

`cancel(id)`¶

Parameters: id timer ID. Returns: void. Throws: None.

`on_time_advance(now)`¶

Parameters: now current time. Returns: void. Throws: None.

`AuditLogger`¶

Structured audit logger for backtest and live runs.

Methods:

Method	Description
`AuditLogger(path)`	Construct logger with output path.
`log(event)`	Write an audit event.
`log_error(error)`	Write an error event.
`log_regime_change(transition)`	Write a regime transition event.

Method Details:

`AuditLogger(path)`¶

Parameters: path output file path. Returns: Instance. Throws: Error::IoError on open failure.

`log(event)`¶

Parameters: event audit event. Returns: Result<void>. Throws: Error::IoError on write failure.

`log_error(error)`¶

Parameters: error error message. Returns: Result<void>. Throws: Error::IoError on write failure.

`log_regime_change(transition)`¶

Parameters: transition regime transition. Returns: Result<void>. Throws: Error::IoError on write failure.

`BacktestResults`¶

Aggregated outputs from a backtest run.

Fields:

Field	Description
`total_return`	Total return as a fraction.
`max_drawdown`	Maximum drawdown as a fraction.
`metrics`	Detailed metrics tracker output.
`fills`	Fills captured during the run.
`regime_history`	Regime states observed during the run (full timeline).

`Order` / `Fill`¶

Order and fill structures used across execution and portfolio.

Methods and Fields:

Member	Description
`Order::market(symbol, side, qty)`	Factory for market order.
`Order::limit(symbol, side, qty, price)`	Factory for limit order.
`Order::stop(symbol, side, qty, stop)`	Factory for stop order.
`Order` fields	Order identifiers, sizing, prices, status, timestamps.
`Fill` fields	Fill identifiers, price, quantity, timestamps, costs.

`OrderSide` / `OrderType` / `TimeInForce` / `OrderStatus`¶

Order enums used across engine and execution.

`OrderType`¶

Order type enum.

`TimeInForce`¶

Time-in-force enum.

`OrderStatus`¶

Order status enum.

`Fill`¶

Fill structure used for execution updates.

`OrderModification`¶

Mutable fields for order modification.

Fields:

Member	Description
`quantity`	New quantity (optional).
`limit_price`	New limit price (optional).
`stop_price`	New stop price (optional).
`tif`	New time-in-force (optional).

`PortfolioSnapshot`¶

Snapshot of portfolio state.

Fields:

Member	Description
`timestamp`	Snapshot time.
`cash` / `equity`	Cash and total equity.
`gross_exposure` / `net_exposure`	Exposure measures.
`leverage`	Portfolio leverage.
`positions`	Position map.

`BacktestRunSpec`¶

Specification for a single backtest run.

Fields:

Member	Description
`engine_config`	Engine configuration.
`data_config`	Data source configuration.
`strategy_config`	Strategy configuration.
`range`	Backtest range.
`symbols`	Symbols to trade.
`bar_type`	Bar aggregation type.

`ParallelContext`¶

Context parameters for parallel backtest execution.

Fields:

Member	Description
`data_config`	Data source configuration.
`range`	Backtest range.
`symbols`	Symbols to trade.
`bar_type`	Bar aggregation type.

`AuditEvent`¶

Structured audit log event.

Fields:

Member	Description
`timestamp`	Event timestamp.
`type`	Audit event type.
`details`	Event details.
`metadata`	Key-value metadata.

`AuditEvent::Type`¶

Audit event categories (order, regime, system, error).

`EngineFactory`¶

Builds engines with consistent dependencies (data sources, execution models, risk policies).

Methods:

Method	Description
`create(config)`	Create a configured `BacktestEngine`.

Method Details:

`create(config)`¶

Parameters: config root configuration. Returns: unique_ptr<BacktestEngine>. Throws: Error::ConfigError on invalid configuration.

Usage Examples¶

#include "regimeflow/engine/backtest_engine.h"
#include "regimeflow/strategy/strategies/buy_and_hold.h"

regimeflow::engine::BacktestEngine engine(1'000'000.0, "USD");
engine.set_strategy(std::make_unique<regimeflow::strategy::BuyAndHoldStrategy>());
engine.run();
auto results = engine.results();

Package: regimeflow::engine¶

Summary¶

File Index¶

Type Index¶

Lifecycle & Usage Notes¶

Type Details¶

BacktestEngine¶

BacktestEngine(initial_capital, currency)¶

event_queue()¶

dispatcher()¶

event_loop()¶

order_manager()¶

portfolio()¶

market_data()¶

enqueue(event)¶

load_data(iterator)¶

load_data(bar_iterator, tick_iterator, book_iterator)¶

set_strategy(strategy, config)¶

add_strategy(strategy)¶

set_execution_model(model)¶

set_commission_model(model)¶

set_transaction_cost_model(model)¶

set_market_impact_model(model)¶

set_latency_model(model)¶

set_regime_detector(detector)¶

risk_manager()¶

metrics()¶

current_regime()¶

current_time()¶

hooks()¶

hook_manager()¶

configure_execution(config)¶

configure_risk(config)¶

configure_regime(config)¶

set_parallel_context(context)¶

run_parallel(param_sets, factory, num_threads)¶

register_hook(type, hook, priority)¶

on_progress(callback)¶

set_audit_log_path(path)¶

results()¶

step()¶

run_until(end_time)¶

run()¶

stop()¶

DashboardSnapshot / DashboardSetup / DashboardVenueSummary¶

RoutingConfig / RoutingContext / RoutingPlan¶

OrderRouter / SmartOrderRouter¶

ParityChecker / ParityReport¶

BacktestRunner¶

BacktestRunner(engine, data_source)¶

run(strategy, range, symbols, bar_type)¶

run_parallel(runs, num_threads)¶

EventLoop¶

EventLoop(queue)¶

set_dispatcher(dispatcher)¶

add_pre_hook(hook)¶

add_post_hook(hook)¶

set_progress_callback(callback)¶

run()¶

run_until(end_time)¶

step()¶

stop()¶

current_time()¶

EventGenerator¶

EventGenerator(iterator, queue[, config])¶

EventGenerator(bar, tick, book, queue[, config])¶

enqueue_all()¶

ExecutionPipeline¶

ExecutionPipeline(market_data, order_books, event_queue)¶

set_execution_model(model)¶

set_commission_model(model)¶

set_transaction_cost_model(model)¶

set_market_impact_model(model)¶

set_latency_model(model)¶

on_order_submitted(order)¶

OrderManager¶

submit_order(order)¶

cancel_order(id)¶

modify_order(id, mod)¶

get_order(id)¶

Package: `regimeflow::engine`¶

`BacktestEngine`¶

`BacktestEngine(initial_capital, currency)`¶

`event_queue()`¶

`dispatcher()`¶

`event_loop()`¶

`order_manager()`¶

`portfolio()`¶

`market_data()`¶

`enqueue(event)`¶

`load_data(iterator)`¶

`load_data(bar_iterator, tick_iterator, book_iterator)`¶

`set_strategy(strategy, config)`¶

`add_strategy(strategy)`¶

`set_execution_model(model)`¶

`set_commission_model(model)`¶

`set_transaction_cost_model(model)`¶

`set_market_impact_model(model)`¶

`set_latency_model(model)`¶

`set_regime_detector(detector)`¶

`risk_manager()`¶

`metrics()`¶

`current_regime()`¶

`current_time()`¶

`hooks()`¶

`hook_manager()`¶

`configure_execution(config)`¶

`configure_risk(config)`¶

`configure_regime(config)`¶

`set_parallel_context(context)`¶

`run_parallel(param_sets, factory, num_threads)`¶

`register_hook(type, hook, priority)`¶

`on_progress(callback)`¶

`set_audit_log_path(path)`¶

`results()`¶

`step()`¶

`run_until(end_time)`¶

`run()`¶

`stop()`¶

`DashboardSnapshot` / `DashboardSetup` / `DashboardVenueSummary`¶

`RoutingConfig` / `RoutingContext` / `RoutingPlan`¶

`OrderRouter` / `SmartOrderRouter`¶

`ParityChecker` / `ParityReport`¶

`BacktestRunner`¶

`BacktestRunner(engine, data_source)`¶

`run(strategy, range, symbols, bar_type)`¶

`run_parallel(runs, num_threads)`¶

`EventLoop`¶

`EventLoop(queue)`¶

`set_dispatcher(dispatcher)`¶

`add_pre_hook(hook)`¶

`add_post_hook(hook)`¶

`set_progress_callback(callback)`¶

`run()`¶

`run_until(end_time)`¶

`step()`¶

`stop()`¶

`current_time()`¶

`EventGenerator`¶

`EventGenerator(iterator, queue[, config])`¶

`EventGenerator(bar, tick, book, queue[, config])`¶

`enqueue_all()`¶

`ExecutionPipeline`¶

`ExecutionPipeline(market_data, order_books, event_queue)`¶

`set_execution_model(model)`¶

`set_commission_model(model)`¶

`set_transaction_cost_model(model)`¶

`set_market_impact_model(model)`¶

`set_latency_model(model)`¶

`on_order_submitted(order)`¶

`OrderManager`¶

`submit_order(order)`¶

`cancel_order(id)`¶

`modify_order(id, mod)`¶

`get_order(id)`¶

`get_open_orders()`¶

`get_open_orders(symbol)`¶

`get_orders_by_strategy(strategy_id)`¶

`get_fills(order_id)`¶

`get_fills(symbol, range)`¶