screamer.js
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    Function BacktestL1Target

    • Backtest a target-position strategy against the L1 book, taking each quote update as a market fill to reach the target immediately.

      Parameters

      • takerFee: number = 0.0

        Fractional fee charged on each taker fill.

      • tickSize: number = 0.0

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

      • minPosition: number = -Infinity

        Inventory floor. The target is clamped to [min_position, max_position] before the fill size is computed.

      • maxPosition: number = Infinity

        Inventory ceiling. The target is clamped to [min_position, max_position] before the fill size is computed.

      • multiplier: number = 1.0

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

      • feePerContract: number = 0.0

        Fixed fee (or rebate when negative) charged per contract on each fill.

      Returns ScreamerOp

      https://screamer.readthedocs.io/en/latest/ for the Python reference and full details.