Function BacktestL1Orders

Parameters

• makerFee: number = 0.0

  Fractional fee on a maker fill; negative for a rebate.

• takerFee: number = 0.0

  Fractional fee on a taker fill (a quote submitted already crossing the spread).

• fill: string = "breach"

  Fill rule. "breach" (conservative) fills only when the market trades through your quote; "touch" (optimistic) also fills a participation partial once per lock episode.

• participationRatio: number = 1.0

  Fraction of the locked ask/bid size captured on a touch fill (front-of-queue at 1.0).

• tickSize: number = 0.0

  Price step a marketable order walks for the size beyond the displayed quote.

• minPosition: number = -Infinity

  Inventory floor; sell fills are capped so the position never falls below it.

• maxPosition: number = Infinity

  Inventory ceiling; buy fills are capped so the position never exceeds it.

• multiplier: number = 1.0

  Contract multiplier applied to mark-to-market PnL, fill slippage, and proportional fees.

• makerFeePerContract: number = 0.0

  Fixed fee (or rebate when negative) charged per contract on maker fills.

• takerFeePerContract: number = 0.0

  Fixed fee (or rebate when negative) charged per contract on taker fills.