screamer.js
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    Function BacktestL1TradesOrders

    • Backtest a two-sided market maker against top-of-book quotes with a trade tape driving the fills, into a costed equity curve.

      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 = "touch"

        Fill rule for a trade at your price. "touch" fills a participation partial; "breach" fills only on a trade through.

      • participationRatio: number = 1.0

        Fraction of an at-price trade's size captured (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.

      Returns ScreamerOp

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